Advanced Mathematical Finance (MAC 501)

  • Information

    Update: There will be a frist tutorial/lecture via Zoom on Thursday (19/03) from 10:15-11:45. I will send you a link at 10:15. If I don't have your email yet, please send it to me.

    The lecture course „Advanced Mathematical Finance“ will be continued but, of course, without any lectures or tutorials which required your personal attendance.

    Please write me an email with your name when you plan to continue the lecture course and please check regularly my homepage for updates. If I have your email address, I can also keep you informed via email.

    The lecture course will be carried on in the following manner (at least until 20/04/20) :

    - The lecture notes with be updated every Tuesday and Thursday at the latest at 10 am.

    - The lecture notes are will be divided into pieces corresponding to the amount of 90 min lectures.

    - I will be available in my office (or via Skype) during the usual lecture times for questions.

    (In modern education this style is called “inverted classroom” which is actually a very good preparation of writing a thesis in the future.)

    The problem sheets and tutorial will be carried on in the following manner:

    - You can hand in your solution  via email (proemel (~at~) as PDF file.

    - Sample solutions will be provided on my homepage.

    - You can submit your solution up to one week after the announced deadlines.

    - You are strongly encouraged to do the problem sheets in order to check your own understanding of the lecture. The content of the problem sheets is also relevant for the exam. However, I will not enforce 50% correctly solved problems as requirement for the oral exam.

    - The tutorial will be continued in some way (to be determined).

    If you have questions, please drop me an email. Consultation-hours are possible at any time either in person or via Skype (my Skype name: david.proemel).

    This is an usual situation for all of us, so let’s make the best out of it. In particular, let’s try to keep working hard and try to support each other. The room (B4.01) next to my office will be open as a self-study room from Monday (16/03) on.


  • Team

    Lecturer and tutor: Prof. Dr. David Prömel

  • Schedule


    Tues B2 (10:15-11:45)   C 014 Hörsaal (A 5, 6 Bauteil C)
    Thurs B2 (10:15-11:45)  C 013 Hörsaal (A 5, 6 Bauteil C)

    Exercise classes:

    Tues B5 (15:30-17:00)     C 014 Hörsaal (A 5, 6 Bauteil C)

    Exam: Oral exams (in English or German), dates are be determined.

  • Exercise sheets

    1. Problem sheet (due on 20/02)

    2. Problem sheet (due on 27/02) - Solutions

    3. Problem sheet (due on 05/03) - Solutions

    4. Problem sheet (due on 12/03) - Solutions

    5. Problem sheet (due on 19/03) - Solutions

    6. Problem sheet (due on 26/03) - Solutions

    7. Problem sheet (due on 02/04) - Solutions

    8. Problem sheet (due on 23/04) - Solutions

    9. Problem sheet (due on 30/04) - Solutions

    10. Problem sheet (due on 07/05) - Solutions

    11. Problem sheet (due on 14/05) - Solutions (corrected)

    12. Problem sheet (due on 23/05) - Solutions


  • Lecture notes

    The lecture notes will be updated and corrected during the term. Please check always for the latest version. The lecture notes of the coure „Mathematical Finance“ (HWS 2019) can be found here.

  • Online Tutorials