Lecture Summer Term 2015

Financial Mathematics II

Lecturer:
Alexander Lindner

Class Teacher:

Dirk Brandes

Type:

  • Master Mathematik (optional)
  • Master Wirtschaftsmathematik (optional)
  • Master of Finance-Major Financial Mathematics (obligatory)
  • Master of Finance-Major Financial Economics (optional)

News:

The grades of the second exam are now online at campusonline. The post exam review takes place on Wednesday, 30th of September 2016 at 3 p.m. in room He18 1.40b.

A tutorial course takes place every Tuesday, 14:00-15:00, He18/1.40b.

There will be an additional lecture on Friday, 29th of May, 8:15-10:00 a.m.

The exercise classes on Thursday, 28th of May, and Friday, 29th of May, will not take place. The 5th sheet will only be discussed on Friday, 5th of June, since Thursday, 4th of June, is another official holiday.

There will be an additional lecture in the first week on Friday, 17th of April, 8:15-10:00 a.m.

Time and Venue:

  • Lecture: Thursday, 10:15-12:00, He18/120, and Friday, 12:15-14:00, He18/120.
  • First Lecture: 16th of April.
  • Exercise Class: Thursday, 16:00-17:30, He18/E60, or Friday, 8:15-10:00, He18/120.
  • First Exercise Class: 23rd of April.
  • Solutions of the first exercise sheet to be handed in by: 23rd of April at the beginning of the lecture.
  • A tutorial course takes place every Tuesday, 14:00-15:00, He18/1.40b. Please send appropriate questions via e-mail in advance.

Final Exam:

written, July 16th 2015 at 10 am in H4/5.

written (retake), September 29th 2015 at 10 am in H12.

The Financial Mathematics II exam is open.

To participate in the final exam, you have to register at campusonline.uni-ulm.de until July 12th 2015. 

Authorized Auxiliaries:

  • one A4 sheet or equivalent 2 pages of handwritten notes.
 

Prerequisites:

Analysis I+ II, Linear Algebra I+II, Stochastics I+II, Financial Mathematics I.

Contents:

  • Continuous time financial markets; arbitrage theory, valuation and hedging of derivatives in complete and incomplete financial markets
  • The Black-Scholes model
  • Stochastic integration and stochastic calculus with respect to semimartingales
  • elementary stochastic differential equations
  • interest rate models
  • if time permits, also portfolio optimization

Literature:

 
  • A. Irle, Finanzmathematik: Die Bewertung von Derivaten, Vieweg + Teubner 2012.
  • N.H.Bingham & R.Kiesel, Risk Neutral Valuation, 2nd edition, Springer 2004.
  • I. Karatzas, S.E. Shreve, Methods of Mathematical Finance, Springer 2010.
  • D. Lamberton & B. Lapeyre, Introduction to Stochastic Calculus Applied to Finance, Chapman & Hall, 1996.
  • P.E. Protter, Stochastic Integration and Differential Equations, 2nd Edition, Springer, 2004.
  • F.C. Klebaner, Introduction to Stochastic Calculus with Applications, 2nd Edition, Imperial Collega Press, 2005.
  • S. Shreve, Stochastic Calculus for Finance II: Continuous-Time Models, Springer, 2004.
  • A. Shiryaev, Essentials of Stochastic Finance, Word Scientific Press, 1999.
Lecture notes:Financial Mathematics I (winter term 2014/15)
Exercise sheets:

Sheet 1

Sheet 2

Sheet 3

Sheet 4

Sheet 5

Sheet 6

Sheet 7

Sheet 8

Sheet 9

Sheet 10