Stochastic Finance II

The focus of this course is on continuous time models in financial mathematics. The first part of the course covers an introduction to stochastic calculus, stochastic differential equations, risk-neutral pricing, and the fundamental theorem of asset pricing in continuous time. 

Lecture given by Dörte Kreher and Paul Hager.


  • Analysis I + II 
  • Linear Algebra I+II
  • Stochastic I+II

Recommended, but not required:

  • Stochastic Analysis (or in parallel)
  • Financial Mathematics I 

Lectures (starting April 20th):

  • Thursday, 9 – 11, Room 3.006 (RUD 25)
  • Friday, 9 – 11, Room 3.007 (RUD 25)

Tutorials (starting April 28th):

  • Friday, 11 – 13, Room 3.006 (RUD 25)


  • Shreve, S.E.., Karatzas, I. (2014). Brownian Motion and Stochastic Calculus. United Kingdom: Springer, New York.
  • Shreve, S. E. (2004). Stochastic Calculus for Finance II: Continuous-Time Models. Germany: Springer.