Class Teacher:

Marc Wittlinger

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

• Lecture: Thursday 10:15-12:00 in He 18 room 220 and Friday 8:30-10:00 in He 18 room 220
• Exercises: Friday 12:15-14:00 in He 18 room 220
• Tutorial with Carla Mereu for MSc Finance students Thursday 16:00-18:00 He 18 room E60

News:

Attention: There is a typo in Exercise 5.5. The corrected exercise sheet is online.

The lecture starts on 04/18/2013.

The exercises start on 04/26/13.

There are no achievements needed to be admitted to the final exam. 

• Stochastic analysis: Stochastic integration, stochastic differential equations, (semi-)martingales;
• Continuous-time fi nancial market models:
• Valuation and hedging of derivatives in complete and incomplete financial markets, stochastic volatility; 
• Interest rate models: Term structure modeling, interest rate derivatives, LIBOR market models;
• Basics of Lévy processes and Lévy based financial models.

• Bingham, N. H.; Kiesel, R.: Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives. (Springer) 2 edn., 2004.
• Björk, T.: Arbitrage theory in continuous time. (Oxford University Press) 2.edn. 2003.
• Cont, R.; Tankov, P.: Financial Modeling with Jump Processes. Chapman & Hall, 2004.
• Delbaen, F.; Schachermayer, W.: The Mathematics of Arbitrage, (Springer, Heidelberg), 2006.
• Hunt; Kennedy: Financial Derivatives in Theory and Praxis, Wiley 2000.
• Karatzas, I.; Shreve, S.: Methods of Mathematical Finance. (Springer). 1998
• Korn, R.; Korn, E.: Option Pricing and Portfolio Optimization. (American Mathematical Society, Providence), 2001.
• Lamberton, D.; Lapeyre, B.: Introduction to stochastic calculus applied to fi nance. Second edition. Chapman & Hall, 2008.
• Musiela, M.; M. Rutkowski: Martingale methods in nancial modelling. (Springer), 2nd ed. 2004.
• Øksendal, B.: Stochastic Di erential Equations. (Springer, Berlin), 5th edn., 1998
• Shiryaev, A: Essentials of Stochastic Finance. (World Scienti c, Singapore), 1999.
• S. Shreve, Stochastic Calculus for Finance II: Continuous-Time Models, Springer, 2004.

Exercises:

Sheet 1

Sheet 2

Sheet 3

Sheet 4

Sheet 5

Sheet 6

Sheet 7

Financial Mathematics I

Financial Mathematics II