Stoch. Finanzmathematik

This is the website for the course Stochastische Finanzmathematik I (Mathematical Finance)

Course topic:

  • Introduction and One-Period Models
  • Dynamic Hedging in Discrete Time Models
  • Black-Scholes Model
  • Optimal Stopping and American Options
  • Introduction to Continuous Finance

Lecture (Dr. Sebastian Schlenkrich):

  • Fri, 11:15 - 12:45 and 13:00 - 14:30 s.t., RUD26, 1304

Exercises (Gevorg Adamyan):

  • Mon, 13:00 - 15:00, RUD26, R. 1304.

Course details will be shared via the Moodle course.


  • H. Foellmer and A. Schied. Stochastic Finance: An Introduction in Discrete Time. de Gruyter, 2016
  • D. Lamberton and B. Lapeyre. Introduction to Stochastic Calculus Applied to Finance. Chapman and Hall, 2008