401-4889-00L  Mathematical Finance

Semester Autumn Semester 2015
Lecturers M. Soner
Periodicity yearly course
Language of instruction English


Abstract Advanced introduction to mathematical finance:
- absence of arbitrage and martingale measures
- option pricing and hedging
- optimal investment problems
- additional topics
Objective Advanced level introduction to mathematical finance, presupposing knowledge in probability theory and stochastic processes
Content 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).
Lecture notes None available
Literature Details will be announced in the course.
Prerequisites / Notice Prerequisites are probability theory and stochastic processes (for which lecture notes are available).