| Contents: | - Stochastic analysis: Stochastic integration, stochastic differential equations, (semi-)martingales;
- 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;
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| Literature: | - 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 finance. Second edition. Chapman & Hall, 2008.
- Musiela, M.; M. Rutkowski: Martingale methods in financial modelling. (Springer), 2nd ed. 2004.
- Oksendal, B.: Stochastic Differential Equations. (Springer, Berlin), 5th edn., 1998
- Shiryaev, A: Essentials of Stochastic Finance. (World Scientifc, Singapore), 1999.
- S. Shreve, Stochastic Calculus for Finance II: Continuous-Time Models, Springer, 2004.
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