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16SS Stochastische Analysis und Mathematical Finance


Welcome! Here you find information and material for my course Stochastic Analysis and Mathematical Finance during the summer term 2016.

Important Information  The lecture takes place three times per week in the first two thirds of the term. The final lecture is on Wednesday, June 15.

General Information

In this course we investigate Stochastic Analysis, including semimartingales, stochastic integrals, Ito's formula, Girsanov's theorem, martingale representation and the Feynman-Kac theorem, as well as applications to Mathematical Finance, including the no-arbitrage paradigm, the Fundamental Theorems of Asset Pricing, risk-neutral valuation, complete markets and the Black-Scholes formula. There are three lectures per week on
  • Tuesday at 12.15 in HS10
  • Wednesday at 12.15 in E45
  • Thursday at 12.15 in HS10
and an associated tutorial on
  • Tuesday at 10.15 in E52.

As a prerequisite, you are expected to be familiar with the fundamentals of stochastic processes (e.g., my course Stochastic Processes covers all you need in §1, §3 and §4). If you wish to brush up on this, consult the course website and check the lecture notes.

Within the Stochastic Processes and Mathematical Finance curriculum, this is the second core lecture.

Course Material

The current version of the lectures notes is available here.

All material is password protected. You receive the login details in the lecture.

Tutorials and Exercise Groups

We offer a tutorial to discuss applications as well as any questions that you might have. The tutorial will be held by Dr. Christoph Belak and takes place on
  • Tuesday at 10.15 in E52.

You are also expected to hand in solutions to exercises. Exercise sheets will generally be uploaded on Thursday in any given week and are due on Thursday at 16.00 the week after. Solutions will be discussed in the following exercise groups. The exercise groups are also under the responsibility of Dr. Belak and in general take place on
  • Thursday at 16.15 in E44
with the following exceptions:
  • April 28 (rescheduled for April 26, 1615 in E44)
  • May 5 (rescheduled for May 3, 1615 in E44)
  • May 26 (rescheduled for May 24, 1615 in E44)
  • June 2 (rescheduled for June 7, 1615 in E44)
Exercise sheets and other relevant material will be made available through Stud.IP

To qualify for the final exam, you are required to attain 50% of the points, and to be able to demonstrate in the exercise groups that you have fully understood the solutions that your group has handed in. You can submit in groups of 2-3 persons.


Oral examinations are offered on
  • August 1, August 2
  • October 19, October 20.
Please register in Ms. Karpa's office (E111).