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:

No lectures at Thursday, 19th of May, and Friday, 20th and 27th of May, but instead at Friday, 15th of April and 13th of May at the time of the exercise class.

No exercise classes at Friday, 13th and 27th of May, but instead on Thursday, 19th of May and Friday, 20th of May at the time of the lecture.

 

 

Time and Venue:
  • Lecture: Thursday, 10:15-12:00, Heho 18 - 120, and Friday, 12:15-14:00, Heho 18 -120.
  • First Lecture: 14th of April.
  • Exercise class: Friday, 08:30-10:00, Heho 18 -120.
  • First Exercise class: 22nd of April.
  • Tutorial course: Thursday, 16:00-17:30, Heho 18 - E60
  • First Tutorial course: 21st of April.

Final Exam:

oral

To participate in the oral exam, you have to register at campusonline.uni-ulm.de until July 12th 2016.

Prerequisites:

Analysis I+II; Lineare Algebra I+II; Stochastik I+II; Elementary Probability, Statistics and Measure Theory or Introduction to Measure Theoretic Probability; 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.

Exercise sheets:

 Moodle 

Lecture notes:

Moodle