250016 VO Mathematical Finance (Continuous Time) (2024S)
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Details
Language: English
Lecturers
Classes (iCal) - next class is marked with N
Monday
04.03.
09:45 - 11:15
Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
05.03.
11:30 - 13:00
Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Monday
18.03.
09:45 - 11:15
Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
19.03.
11:30 - 13:00
Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
09.04.
11:30 - 13:00
Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Monday
15.04.
09:45 - 11:15
Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
16.04.
11:30 - 13:00
Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
23.04.
11:30 - 13:00
Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
N
Monday
29.04.
09:45 - 11:15
Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
30.04.
11:30 - 13:00
Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
07.05.
11:30 - 13:00
Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Monday
13.05.
09:45 - 11:15
Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
14.05.
11:30 - 13:00
Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
21.05.
11:30 - 13:00
Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Monday
27.05.
09:45 - 11:15
Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
28.05.
11:30 - 13:00
Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
04.06.
11:30 - 13:00
Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Monday
10.06.
09:45 - 11:15
Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
11.06.
11:30 - 13:00
Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
18.06.
11:30 - 13:00
Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Monday
24.06.
09:45 - 11:15
Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday
25.06.
11:30 - 13:00
Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Information
Aims, contents and method of the course
* Fundamentals 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. If time permits we will cover stochastic optimal control problems in finance, such as utility maximization.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
Only a final exam. Depending on the size of the class, either oral or written (closed book) exam.
Minimum requirements and assessment criteria
Examination topics
The material from the lectures.
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: Fr 01.03.2024 11:26