Webrelaunch 2020

Financial Mathematics (Winter Semester 2007/08)

Lecture: Monday 9:45-11:15 Seminarraum 12
Tuesday 8:00-9:30 Seminarraum 12
Problem class: Wednesday 15:45-17:15 Seminarraum 12


This course covers the fundamental principles and techniques of financial mathematics in discrete- and continuous-time models. Specific topics are

  • Cox-Ross-Rubinstein Modell
  • Black-Scholes Modell
  • American Options
  • Interest Rate Theory
  • Portfolio Optimisation: Consumption-Investment Strategies, Optimal Portfolios


Knowledge based on the lecture Stochastics 1.


Bingham/Kiesel (1998): Risk-neutral valuation.
Elliott/Kopp (1999): Mathematics of Financial Markets
Irle (1998): Finanzmathematik
Korn/Korn (1999): Optionsbewertung und Portfolio-Optimierung
Rolski/Schmidli/Schmidt/Teugels (1999): Stochastic Processes for
Insurance and Finance
Shreve (2003): Stochastic calculus for finance I.
Shreve (2004): Stochastic calculus for finance II.