Stochastische Finanzmathematik II

Content:

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.

Prerequisites: 

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)

Literature:

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)

Office hours:

by appointment

 

All the material can be found on the moodle course page.