Financial Mathematics II

• 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)

Lecture Notes and Exercises

All materials will be available on Moodle.

• 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.
• Revuz, D. and Yor, M.: Continuous Martingales and Brownian motion. (Springer), 1999.
• Shreve, S.: Stochastic Calculus for Finance II: Continuous-Time Model. (Springer), 2004.
• Steele, M.: Stochastic Calculus with Financial Applications. (Springer), 2001.

You can also find the literature in the Semesterapparat.