Advanced Topics in Mathematical Finance (MAC 557)
Welcome to the webpage of the course Advanced Topics in Mathematical Finance. The course will take place in person at the university, but the lecture notes and problem sheets are available online. 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
General Information
For the schedule and location of the lectures and tutorials, please see Portal2. All course materials (lecture notes, problem sheets, etc.) as well as further information will be made available in the course’s ILIAS group.
If you are interested in attending the course, please register for the ILIAS group. This ensures that you receive all relevant information about the course, but it does not obligate you to take the exam.
Team
Lecturer: Prof. Dr. David Prömel
Tutor: Martin Bergerhausen
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.
- You may reply in English or German.
- Everything (lectures, problem sheets, tutorials) is relevant for the exam.