Advanced introduction to mathematical finance: - absence of arbitrage and martingale measures - option pricing and hedging - optimal investment problems - additional topics
Advanced level introduction to mathematical finance, presupposing knowledge in probability theory and stochastic processes
This is an advanced level introduction to mathematical finance for students with a good background in probability. We want to give an overview of main concepts, questions and approaches, and we do this in both discrete- and continuous-time models. Topics include absence of arbitrage and martingale measures, option pricing and hedging, optimal investment problems, and probably others. Prerequisites are probability theory and stochastic processes (for which lecture notes are available).
Details will be announced in the course.
Prerequisites / Notice
Prerequisites are probability theory and stochastic processes (for which lecture notes are available).
Performance assessment information (valid until the course unit is held again)