Stochastische Finanzmathematik I / Mathematical Finance I

Content: 

This is the first part of a one year course on financial mathematics. The objective of the course is to give an introduction to the probabilistic techniques required to understand the most widely used models of mathematical finance. The course is intended for undergraduate and graduate students in mathematics, but it might also be useful for students in economics and operations research.

Overview: 

  • Mathematical finance in one period models
  • Dynamic arbitrage theory in discrete time
  • Optimal stopping and American options
  • Risk measures
  • Introduction to continuous time finance

Lecture: 

  • Mo. 09:15 - 10:45 RUD26 Raum 0'311 (Erwin Schrödinger-Zentrum)
  • Th. 013:15 - 14:45 RUD26 Raum 1'304 (Erwin Schrödinger-Zentrum)

Tutorial: 

  • Th., 11:15 - 12:45  RUD26 Raum 1'304 (Erwin Schrödinger-Zentrum)

First lecture: Thursday, Oct. 17. First exercise: Thursday, Oct. 31. 

The lecture will be managed via Moodle (not online yet). Please sign in to the Moodle course. If you cannot sign in to the Moodle course please get in touch via e-mail.

Lecture notes will be provided online. Most parts of the course follow the textbook

  • Hans Föllmer / Alexander Schied: Stochastic Finance: An Introduction in Discrete Time, De Gruyter Textbook (2011), 

available online via HU network.

Prerequisites: Analysis I+II; Lineare Algebra I+II; Stochastik I+II, (Stochastik II can be attended in parallel to this course)  

The lecture will be given in English upon request.