250016 VO Mathematical Finance (Continuous Time) (2022S)
Labels
Registration/Deregistration
Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).
Details
Language: English
Examination dates
Monday
04.07.2022
Friday
08.07.2022
Monday
11.07.2022
Thursday
04.08.2022
Tuesday
30.08.2022
Wednesday
07.09.2022
Thursday
05.01.2023
Tuesday
28.02.2023
Lecturers
Classes (iCal) - next class is marked with N
The intention is to hold the lectures on campus.
Tuesday
01.03.
11:30 - 12:15
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday
02.03.
11:30 - 13:00
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
08.03.
11:30 - 12:15
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday
09.03.
11:30 - 13:00
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
15.03.
11:30 - 12:15
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday
16.03.
11:30 - 13:00
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
22.03.
11:30 - 12:15
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday
23.03.
11:30 - 13:00
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
29.03.
11:30 - 12:15
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday
30.03.
11:30 - 13:00
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
05.04.
11:30 - 12:15
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday
06.04.
11:30 - 13:00
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
26.04.
11:30 - 12:15
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday
27.04.
11:30 - 13:00
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
03.05.
11:30 - 12:15
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday
04.05.
11:30 - 13:00
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
10.05.
11:30 - 12:15
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday
11.05.
11:30 - 13:00
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
17.05.
11:30 - 12:15
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday
18.05.
11:30 - 13:00
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
24.05.
11:30 - 12:15
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday
25.05.
11:30 - 13:00
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
31.05.
11:30 - 12:15
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday
01.06.
11:30 - 13:00
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday
08.06.
11:30 - 13:00
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
14.06.
11:30 - 12:15
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday
15.06.
11:30 - 13:00
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
21.06.
11:30 - 12:15
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday
22.06.
11:30 - 13:00
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
28.06.
11:30 - 12:15
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday
29.06.
11:30 - 13:00
Seminarraum 11 Oskar-Morgenstern-Platz 1 2.Stock
Information
Aims, contents and method of the course
* Fundametals of continuous times processes relevant to finance: martingales, Brownian motion, geometric Brownian motion, stochastic integration, Ito formula, Ito processes, Girsanov theorem, martingale representation,etc.* Fundamental aspects of continuous time mathematical finance: trading, super/sub hedging, replication, pricing of options, martingale measures, no-arbitrage, the fundamental theorem of asset pricing, market completeness, Black-Scholes formula, hedging within the Black-Scholes model, exotic options, model calibration given option prices, etc.We will start the lecture with a brief introduction to discrete time stochastic processes and discrete time mathematical finance. Then we introduce the necessary machinery from continuous time stochastic processes. We apply this machinery towards building a continuous time theory of mathematical finance.
Assessment and permitted materials
Depending on the size of the class, either oral or written exam.
Minimum requirements and assessment criteria
Examination topics
The material from the lecture
Reading list
For the elements of discrete time stochastic processes / mathematical finance, you may consult the Lecture Notes from Christa Cuchiero or Mathias Beiglböck (provided in the lecture) or the book 'Stochastic Finance' by Föllmer and Schied.For continuous time processes / finance, good references are 'Introduction to stochastic calculus applied to finance' by Lamberton and Lapeyre, 'Stochastic calculus for finance II: continuous-time modelr' by Shreve, or 'Arbitrage theory in continuous time' by Björk.
Association in the course directory
MSTV
Last modified: Tu 28.02.2023 14:48