Mathematical Finance (MAC 410)
Welcome to the webpage of the course “Mathematical Finance”. The course presents the foundation of mathematical finance in discrete time. In particular, it covers 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,
- Some basics in continuous-time mathematical finance: Black-Scholes model, Black-Scholes formula and “Greeks“,
- a bit of elementary functional and convex analysis.
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(s): Martin Bergerhausen
Exam
Style: written exam of 90 min
- Requirement for the exam are at least 50% of the points on the problem sheets.
- The exam questions are in English only.
- You may reply in English or German.
- You are allowed to use a non-programmable calculator, but (we think) you do not need it.
- Everything (lectures, problem sheets, tutorials) is relevant for the exam.