HWS 2021

Stochastic Calculus

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.

Seminar „Finanzmathematik“ (SEM 463 and MAS 530)

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.