Thursday 8.15-10.00, ML F 36

Friday 10.15-12.00, ML F 38

Some of the topics are:

- semimartingales and general stochastic integration
- fundamental theorem of asset pricing
- option pricing and hedging
- hedging duality
- optimal investment problems

This course is the continuation of the Spring semester course

which focuses on models in finite discrete time. Although that course is not required, students who have attended it will have an advantage in terms of the ideas and concepts, so it is advisable for students to attend that course before the present one, when possible.

For an overview of courses offered in the area of mathematical finance, see link. More information about the prerequisite (and other) courses is available on the Group 3 website.

Lecture notes covering the material addressed during the lectures, as well as the content from the aforementioned prerequisites will be made available to the students through Polybox (you will receive a link and a password when the semester starts). Please note that the content of the notes often goes beyond that of the lectures, though only the material covered in class and during the exercise sessions is exigible. The notes will also be updated throughout the semester.

Lectures are for their great majority scheduled to be in-person. A few lectures during the semester may be either via Zoom or pre-recorded, but you will be notified in advance when this happens.

You are welcome to hand in your solutions in Chiara Rossato's box in HG G 53.2, even though it is not obligatory. In case you decide to submit your solutions, this needs to be done before Tuesday 18:00 of the due date. Your solutions will be then corrected and returned during the following exercise class or returned to the box, if not collected.

# | Exercise Sheet | Due Date | Solutions | Recalls |
---|---|---|---|---|

1 | Assignment 1 | Tuesday, October 4th | Solutions 1 | Recall 1 |

2 | Assignment 2 | Tuesday, October 11th | Solutions 2 | Recall 2 |

3 | Assignment 3 | Tuesday, October 18th | Solutions 3 | Recall 3 |

4 | Assignment 4 | Tuesday, October 25th | Solutions 4 | Recall 4 |

5 | Assignment 5 | Tuesday, November 1st | Solutions 5 | Recall 5 |

6 | Assignment 6 | Tuesday, November 8th | Solutions 6 | Recall 6 |

7 | Assignment 7 | Tuesday, November 15th | Solutions 7 | Recall 7 |

8 | Assignment 8 | Tuesday, November 22nd | Solutions 8 | Recall 8 |

9 | Assignment 9 | Tuesday, November 29th | Solutions 9 | -- |

10 | Assignment 10 | Tuesday, December 6th | Solutions 10 | Recall 10 |

11 | Assignment 11 | Tuesday, December 13th | Solutions 11 | Recall 11 |

12 | Assignment 12 | Tuesday, December 20th | Solutions 12 | Recall 12 |

13 | Assignment 13 | -- | Solutions 13 | Recall 13 |