This is the website for the course Stochastische Finanzmathematik I (Mathematical Finance)
Course topic:
- Introduction and One-Period Models
- Dynamic Hedging in Discrete Time Models
- Black-Scholes Model
- Optimal Stopping and American Options
- Introduction to Continuous Finance
Lecture (Dr. Sebastian Schlenkrich):
- Fri, 11:15 - 12:45 and 13:00 - 14:30 s.t., RUD26, 1304
Exercises (Gevorg Adamyan):
- Mon, 13:00 - 15:00, RUD26, R. 1304.
Course details will be shared via the Moodle course.
Literature:
- H. Foellmer and A. Schied. Stochastic Finance: An Introduction in Discrete Time. de Gruyter, 2016
- D. Lamberton and B. Lapeyre. Introduction to Stochastic Calculus Applied to Finance. Chapman and Hall, 2008