Institute of Mathematical Finance

Lecture Summer Term 2018

Financial Mathematics II

 

Lecturer:
Robert Stelzer

Class Teacher:

Bennet Ströh

Type:
  • Master Mathematik (optional)
  • Master Wirtschaftsmathematik (optional)
  • Master of Finance-Major Financial Mathematics (obligatory)
  • Master of Finance-Major Financial Economics (optional)
  • Master of Finance-Major Actuarial Science (optional)
Time and Venue:
  • Lecture: Wednesday 8:30-10:00 in He 18 room 1.20 and Friday 12:15-14:00 in He 18 room 1.20 
  • Exercises: Thursday 10:15-12:00 in He 18 room 1.20 
  • Tutorial  for MSc Finance students Monday 12:15-14:00 He 22 room E.04 

News:

  • Tentative date of the first lecture: 01.06.2018
  • Tentative date of the first exercise discussion: 13.06.2018

The course will be taught in the second half of the summer term 2018. It is a (2+1)-course and there will be 4 hours of lecture and 2 hours of exercise every week.

Prerequisites:
Financial mathematics I, Stochastic Analysis

Contents:
  • Girsanov change of measure, martingale representation;
  • Continuous-time financial 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; (elective)

Literature:
  • Bingham, N. H. and Kiesel, R.: Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives. (Springer) 2nd edn., 2004.
  • Karatzas, I. and Shreve, S.: Brownian Motion and Stochastic Calculus. (Springer), 1998.
  • Lamberton, D. and Lapeyre, B.: Introduction to stochastic calculus applied to finance. (Chapman & Hall), 2nd edn., 2008.
  • Oksendal, B.: Stochastic Differential Equations. (Springer, Berlin), 5th edn., 1998.
  • Shiryaev, A.: Essentials of Stochastic Finance. (World Scientifc), 1999.
  • Musiela, M. and Rutkowski, M.: Martingale

    methods in financial modelling. (Springer), 2nd edn.

    2004.

  • Björk, T.: Arbitrage theory in continuous

    time. (Oxford University Press) 2nd edn., 2003.

  • Shreve, S.: Stochastic Calculus for Finance II: Continuous-Time Model. (Springer), 2004.
  • Steele, M.: Stochastic Calculus with Financial Applications. (Springer), 2001.
  • Cont, R. and Tankov, P.: Financial Modeling with Jump Processes. (Chapman & Hall), 2004.
  • Delbaen, F. and Schachermayer, W.: The Mathematics of Arbitrage. (Springer), 2006.
  • Hunt, P. J. and Kennedy, J.E.: Financial Derivatives in Theory and Praxis. (Wiley), 2000.
  • Korn, R. and Korn, E.: Option Pricing and Portfolio Optimization. (American Mathematical Society), 2001.
You can also find the literature in the Semesterapparat.
Schedule:4h lectures + 2h exercises blocked in 2nd half of the term

Lecture notes and Exercises:

on moodle