Lecture Summer Term 2017

Financial Mathematics II


Robert Stelzer

Class Teacher:

Johanna Vestweber

  • Master Mathematik (optional)
  • Master Wirtschaftsmathematik (optional)
  • Master of Finance-Major Financial Mathematics (obligatory)
  • Master of Finance-Major Financial Economics (optional)
Time and Venue:
  • Lecture: Wednesday 8:30-10:00 in He 18 room 1.20 and Thursday 10:15-12:00 in He 18 room 1.20 
  • Exercises: Friday 12:15-14:00 in He 18 room 1.20 First exercise: 28.04.2017
  • Tutorial  for MSc Finance students Monday 12:15-14:00 He 22 room E.04 First tutorial: 24.04.2017


Financial mathematics I, Stochastics II

  • 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;
  • 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.
Schedule:4h lectures + 2h exercises

Lecture notes and Exercises:

on moodle