The focus of this course is on continuous time models in financial mathematics. To this end, I will introduce stochastic calculus for Brownian Motion, (B)SDEs and methods for stochastic optimal control. Applications will range from pricing and hedging of derivatives to portfolio optimization.
Analysis I + II, Measure Theory (Maßtheorie), Linear Algebra (Lineare Algebra und Analytische Geometrie I +II), Probability Theory and Stochastic Processes (Stochastik I + II)
Recommended, but not required:
Stochastic Analysis (Stochastische Analysis) – can be attended parallel to this course, Stochastic Financial Mathematics (Finanzmathematik I)
will be announced in the lecture
Lectures (starting April 17th):
Tuesday, 9 – 11, Room 3.006 (RUD 25)
Wednesday, 9 – 11, Room 1‘304 (RUD 26)
Tutorials (Guanxing Fu):
Wednesday, 11 – 13, Room 1‘304 (RUD 26)
All the material can be found on the moodle course page.