Teaching

General Information

Here is a Stochastic Processes and Mathematical Finance Curriculum (Studieninformation). Course material is available on Stud.IP.


2022 (summer)

  • Lecture - Stochastische Analysis und Mathematical Finance (Stochastic Analysis and Mathematical Finance)

  • Lecture - Zinsstruktur- und Kreditrisikomodelle (Interest Rate and Credit Risk)

  • Lecture - Wahrscheinlichkeitstheorie (Probability Theory, by Berenice Neumann)

  • Seminar - Stochastische Algorithmen (Stochastic Algorithms)


2021 (winter)

  • Lecture - Finance C (with Marc-Oliver Rieger, Artem Dyachenko)

  • Lecture - Stochastische Prozesse (Stochastic Processes, by Berenice Neumann)

  • Seminar - Credit Risk


2021 (summer)

  • Lecture - Stochastische Analysis und Mathematical Finance (Stochastic Analysis and Mathematical Finance, by Berenice Neumann)

  • Lecture - Zinsstruktur- und Kreditrisikomodelle (Interest Rate and Credit Risk)


2020 (winter)

  • Lecture - Stochastische Prozesse (Stochastic Processes)

  • Lecture - Finance C (with Marc-Oliver Rieger)

  • Seminar - Quantitative Risk Management


2020 (summer)

  • Lecture - Stochastische Analysis und Mathematical Finance (Stochastic Analysis and Mathematical Finance)

  • Lecture - Zinsstruktur- und Kreditrisikomodelle (Interest Rate and Credit Risk)


2019 (winter)

  • Lecture - Stochastische Prozesse (Stochastic Processes)

  • Lecture - Finance C (with Marc-Oliver Rieger)

  • Seminar - Mathematical Finance


2019 (summer)

  • Lecture - Stochastische Analysis und Mathematical Finance (Stochastic Analysis and Mathematical Finance)

  • Lecture - Stochastische Kontrolltheorie (Stochastic Control Theory)


2017 (winter)

  • Lecture - Wahrscheinlichkeitsrechnung (Elementary Probability)

  • Lecture - Zinsstruktur- und Kreditrisikomodelle (Interest Rate and Credit Risk)

  • Lecture - Finance C (with Marc-Oliver Rieger)

  • Seminar - Information Theory


2017 (summer)

  • Lecture - Stochastische Analysis und Mathematical Finance (Stochastic Analysis and Mathematical Finance)

  • Lecture - Elemente der Analysis II (Mathematics for Economists II)

  • Seminar - Lévy Processes (by Christoph Belak)


2016 (winter)

  • Lecture - Stochastische Prozesse (Stochastic Processes)

  • Lecture - Finance C (with Marc-Oliver Rieger)

  • Lecture - Elemente der Analysis I (Mathematics for Economists I)


2016 (summer)

  • Lecture - Stochastische Analysis und Mathematical Finance (Stochastic Analysis and Mathematical Finance)

  • Lecture - Zinsstruktur- und Kreditrisikomodelle (Interest Rate and Credit Risk)

  • Seminar - Exotische Optionen (Exotic Options)


2015 (winter)

  • Lecture - Stochastische Prozesse (Stochastic Processes)

  • Lecture - Portfolio-Theorie (Portfolio Theory)

  • Seminar - Brown'sche Bewegung (Brownian Motion)


2015 (summer)

  • Lecture - Probability Theory

  • Lecture - Grundlagen der Finanzmathematik (Foundations of Mathematical Finance)

  • Seminar - Monte-Carlo Algorithmen


2014 (winter)

  • Lecture - Interest Rate Theory (Financial Mathematics II, with Christoph Belak)

  • Seminar - How to Gamble If You Must (with Jörn Saß)

  • Reading Course - Stochastic Filtering (with Jörn Saß)

  • Seminar - Mathematical Finance PhD Seminar


2014 (summer)

  • Lecture - Statistik II für Wirtschaftswissenschaftler (Statistical Methods for Economists)

  • Lecture - Grundlagen der Finanzmathematik (Foundations of Mathematical Finance)

  • Reading Course - Nonlinear Expectations (with Christoph Belak and Jörn Saß)

  • Seminar - Brownian Motion (with Jörn Saß)

  • BSc Project (Fachpraktikum) - Discrete-Time Recursive Utility

  • BSc Project (Fachpraktikum) - Bootstrapping and Yield Curve Construction

  • Seminar - Mathematical Finance PhD Seminar


2013 (winter)

  • Lecture - Probability Theory

  • Reading Course - Malliavin Calculus

  • Seminar - Mathematical Finance PhD Seminar


2013 (summer)

  • Lecture - Maß und Integration (Measure and Integration)

  • Lecture - Grundlagen der Finanzmathematik (Foundations of Mathematical Finance)

  • Reading Course - Counterparty Credit Risk, Collateral and Funding

  • Seminar - Mathematical Finance PhD Seminar


2012 (winter)

  • Lecture - Interest Rate Theory (Financial Mathematics II)

  • Seminar - Quantitative Risk Management

  • Reading Course - Point Processes and Intensities


2012 (summer)

  • Lecture - Stochastic Processes and Financial Markets (Financial Mathematics I)

  • Seminar - Continuous-Time Contract Theory (with Sascha Desmettre)

  • BSc Project (Fachpraktikum) - Nonstandard Risk Preferences

  • Reading Course - Foundations of Stochastic Analysis


2011 (winter)

  • Lecture - The Mathematics of Arbitrage

  • Seminar - Classical Papers in Mathematical Economics and Finance (with Jörn Saß)


2011 (summer)

  • Lecture - Stochastic Control and Financial Applications

  • Seminar - Portfolio Optimization


2010 (winter)

  • Lecture - Interest Rate Theory (Financial Mathematics II)

  • Lecture - Probability Theory (for Prof. Dr. Heinrich von Weizsäcker)

  • Seminar - Credit Risk