Welcome to the webpage of the course Stochastic Calculus. If you are interested in taking the course, please sign up by writing me an email to
proemel ( a t ) uni-mannheim.de
providing your full name. This will help us to provide you with information regarding the course and does not mean that you have to do the exam in the end. The course will cover the following topics:
A PDF with all information can be found here.
Please note that this course is recommended as foundation for the courses Advanced Topics in Mathematical Finance, Computation Finance, Numerics of Stochastic Differential Equations, ...
Lecturer: Prof. Dr. David Prömel
Tutor: Anna Kwossek
Bonus material: David Scheffels
The videos to the lecture can be found on the YouTube channel „Mathe Mannheim“.
Tues B4 (13:45 – 15:15): Consultation-hour on Zoom (see Portal2)
Thurs B4 (13:45 – 15:15): Consultation-hour in C 014 (A 5)
The video of the lecture will be uploaded on the YouTube channel „Mathe Mannheim“.
The lecture notes will be updated and corrected regularly during the term. Please always check for the latest version.
Schedule: Thursdays B5 (15:30-17:00) in C 014 (A 5)
The tutorials will take place as personal meetings, but all material will be available here.
1. Tutorial (16.09.21) – Additional Material
2. Tutorial (23.09.21) – Additional Material
3. Tutorial (30.09.21) – Additional Material
4. Tutorial (07.10.21) – Additional Material
5. Tutorial (14.10.21) – Additional Material
Below you can find the problem sheet and the corresponding solutions.
6. Problem sheet (due on 19/10) – Solutions
7. Problem sheet (bonus sheet, due on 26/10) – Solutions
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.
On each exercise sheet, there will be one additional programming exercise. We recommend to deal with them in Python but R or Matlab would work equally well. Solving these programming exercises is optional and you should not hand them in. They have no direct relevance for the exam, but of course they contribute to get a better understanding of the lecture topics.
We will upload sample solutions to these exercises on our GitHub account:
You don’t need an account on GitHub to download the solutions.
Since we are no experts in Python programming, we believe that you could find “nicer” solutions to the exercises. If this is the case, please send us your solution to
We will then upload your nicer solutions also to GitHub.
Installation, introduction into Python and further material
We recommend you to use the editor Visual Studio. A good explanation for the installation of Python and Visual Studio on MAC OS and Windows can be found here:
On the parent folders of the upper link you can also find an introduction into Python:
as well as into the packages numpy (which is needed for any mathematical calculations), matplotlib and pandas. You can learn how to install packages on the very last point of that introduction.
If you want to learn even more about Python, you can find the material from the Python course held by STADS in 2020 here:
If you need more detailed help with the installation, you can also have a look at these videos:
https://www.youtube.com/watch?v=qn96nt-9jaU (for Windows),
https://www.youtube.com/watch?v=9h5V4XxNm_4 (for MAC OS),
but note that you do not need to install Git and Poetry for the purpose of this course.