Mathematics for Finance and Insurance

The most appropriate title of the course is "Stochastic Analysis applied to financial modelling". The topics I taught ranged from Stochastic Differential Equations, Black Scholes models to option pricing. The emphasis was on the European Option. I also covered a topic in stochastic optimal control: deriving and solving the Bellman equations for some relatively simple stochastic model in

Finance and Insurance.

Most of my teaching material were taken from the textbooks:

• Lamberton, Damien ; Lapeyre, Bernard . Introduction to stochastic calculus applied to finance. Second edition. Chapman & Hall/CRC Financial Mathematics Series. Chapman & Hall/CRC, Boca Raton, FL, 2008. 253 pp.
• Mikosch, Thomas . Elementary stochastic calculus—with finance in view. Advanced Series on Statistical Science & Applied Probability, 6. World Scientific Publishing Co., Inc., River Edge, NJ, 1998. x+212 pp.

• Arnold, Ludwig . Stochastic differential equations: theory and applications. Translated from the German. Wiley-Interscience [John Wiley & Sons], New York-London-Sydney, 1974. xvi+228 pp.