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17SS Stochastische Analysis und Mathematical Finance


Welcome! Here you find information and material for my course Stochastic Analysis and Mathematical Finance in the summer term 2017.

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 two lectures per week on
  • Monday at 12.15 in HS9
  • Wednesday at 12.15 in HS9
and an associated tutorial on
  • Wednesday at 14.15 in HS9.

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.

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

Tutorials and exercise groups are held by Dr. Christoph Belak. Please consult the corresponding website for all relevant information.

Please note that to qualify for the final exam, you are required to attain 50% of points in the exercises, and you have to be able to demonstrate in the exercise classes that you have fully understood the solutions that your group has handed in.