Financial Mathematics II

Information about the course

Content
  • 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)

Type and Prerequisites

  • Type
    • Master Mathematik (optional)
    • Master Wirtschaftsmathematik (optional)
    • Master Mathematische Biometrie (optional)
    • Master of Finance-Major Financial Mathematics (obligatory)
    • Master of Finance-Major Financial Economics (optional)
    • Master of Finance-Major Actuarial Science (optional)

  • Prerequisites
    • Elementary Probability and Measure Theory or Introduction to Measure Theoretic Probability
    • Stochastic Analysis
    • Recommended: Stochastics II

Time and Venue

  • Lecture: Wednesday 8:15-9:45 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 

Lecture Notes and Exercises

All materials will be available on Moodle.

People

Lecturer

Robert Stelzer

Class teacher

Bennet Ströh

News

  • Tentative date of the first lecture: 12.06.2019
  • Tentative date of the first exercise discussion: 27.06.2019
  • The course will be taught in the second half of the summer term 2019. It is a (2+1)-course and there will be 4 hours of lecture and 2 hours of exercise every week.

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.
  • 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.