The course “Mathematical Finance” deals with the foundation of mathematical finance in discrete time and the underlying theory of stochastic process, including modeling of financial markets in discrete time, fundamental theorems of asset pricing, pricing and hedging of European and American options, portfolio optimization and risk measures
Credit: David Prömel
Stochastic Calculus (MAA 519)
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.
Credit: Anna Logue
Seminar “Finanzmathematik” (SEM 463 and MAS 540)
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.
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