The course “Advanced Topics in Mathematical Finance” presents the foundational theory of mathematical finance in continuous time, including no arbitrage theory and pricing/hedging of financial derivatives, as well as a selection of more advanced topics, like volatility modeling and portfolio optimization.
The course “Algorithmic Trading and Stochastic Control” develops stochastic control theory for continuous as well as jump diffusion processes and deals with its applications in algorithmic trading, including optimal execution, market making and pairs trading.
The course “Stochastic Calculus” develops the mathematical theory required for probabilistic modeling of real-world phenomena, as it is used in various areas like mathematical finance, engineering and social science. In particular, we study stochastic integration with respect to Brownian motion, stochastic differential equations, change of measures, and martingale representation theorems.
The seminars “Diskrete Finanzmathematik” (SEM 463) and “Finanzmathematik” (MAS 530) cover selected topics in various directions of discrete-time financial modeling as well as more advanced “hot” topics in mathematical finance.Algorithmic Trading and Stochastic Algorithmic Contro
The seminar “Lebensversicherungsmathematik” (SEM 494/MAS 554) covers selected basic as well as more advanced research related topics in various directions of life insurance mathematics.
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