401-4889-00L  Mathematical Finance

SemesterAutumn Semester 2013
LecturersJ. Teichmann
Periodicityyearly course
Language of instructionEnglish


AbstractAdvanced introduction to mathematical finance:
- absence of arbitrage and martingale measures
- option pricing and hedging
- optimal investment problems
- additional topics
ObjectiveAdvanced level introduction to mathematical finance, presupposing knowledge in probability theory and stochastic processes
ContentThis 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 notesNone available
LiteratureDetails will be announced in the course.
Prerequisites / NoticePrerequisites are probability theory and stochastic processes (for which lecture notes are available).