Advanced Topics in Mathematical Finance (MAC 557)

  • General Information

    Welcome to the webpage of the course Advanced Topics in Mathematical Finance. The course will take place in person at the university, but all material of the course will be additional available online afterwards in some form. The course will cover the following topics:

    • no arbitrage theory in continuous time
    • market completeness
    • Black-Scholes model (hedging/pricing of vanilla and exotic options)
    • volatility models (stochastic and local volatility)
    • optimal investments and basics of stochastic optimal control
    • term structure theory for interest rates

    Please do not forget to sign up for the ILIAS group of the course.

  • Team

    Lecturer: Prof. Dr. David Prömel

    Tutors: David Scheffels

  • Lectures and Notes

    Schedule:

    Tues B2 (10:15 – 11:45) in  A 203 (B 6, 23–25 Bauteil A)
    Thurs B2 (10:15 – 11:45) in A 203 (B 6, 23–25 Bauteil A)

    The lectures will be held in person.

     

  • Tutorials and problem sheets

    Schedule: Thursdays B5 (15:30-17:00) in A 203 (B 6, 23–25 Bauteil A).

    The tutorials will take place as personal meetings.

    The problem sheets can be downloaded and its solution can be submitted via ILIAS.

    Please note:

    • You are encouraged to submit your solutions in pairs.
    • For each problem you can get up to 5 points.
    • Please submit your solution via ILIAS.
  • Exam

    Style: oral exam of 30 min

    Date: to be agreed on. Please contact me asap if you did not receive my emails regarding possible dates for the oral examination.

    - Requirement for the exam are at least 50% of the points on the problem sheets.

    - You may reply in English or German.

    - Everything (lectures, problem sheets, tutorials) is relevant for the exam.