Mathematical Finance (MAC 410)
General Information
Welcome to the webpage of the course Mathematical Finance. The course will take place live in person. If you are interested in taking the course, please sign up for the ILAS group. 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:
- some basics from probability theory: conditional expectation, filtrations, stopping times
- martingale theory
- modeling of financial markets in discrete time, e.g., the binomial model of Cox, Ross and Rubinstein
- arbitrage theory: in particular, fundamental theorems of asset pricing (FTAP), pricing and hedging of European options in complete and incomplete models
- portfolio optimization
- risk measures
- American option and optimal stopping stopping
- Some basics in continuous-time mathematical finance: Black-Scholes model, Black-Scholes formula and “Greeks“
- a bit of elementary functional and convex analysis
Team
Lecturer: Prof. Dr. Simon Weißmann
Tutors: Daniel Gläsel, Anna Kwossek, David Prömel, David Scheffels