This is an advanced course on mathematical finance for students with a good background in probability. We want to give an overview of main concepts, questions and approaches, and we do this mostly in continuous-time models.
Topics include:
Prerequisites are the standard courses
Lectures take place live on Tuesdays 8:00-10:00 in HG E1.1 and Thursdays 8:00-10:00 in HG G19.1.
There will be no recordings.
The course is based on different parts from different books as well as on original research literature.
Lecture notes will not be available. However, the lecture notes for BMSC are available and can be found here, Appendix A can be found here, Appendix B can be found here, Appendix C can be found here, and Appendix D can be found here. The password will be emailed to the enrolled students.
Note that the lecture notes are protected by copyright, and their dissemination in any form is strictly prohibited.
Exercise classes take place live on Fridays 10:00-12:00 in ML F38.
The first exercise class is on September 22, in the first week of the semester.
New exercise sheets are uploaded below on Wednesdays before the corresponding Friday exercise class, along with solutions to the exercise sheet from the previous week.
While handing in your solutions is not compulsory, experience shows that being able to solve the exercises independently goes a long way towards good exam performance. We strongly encourage you to hand in written solutions. This can be done electronically. Please follow the instructions below.
Exercise Sheet | Due by | Solutions |
---|---|---|
Exercise Sheet 1 | September 27 | Solution 1 |
Exercise Sheet 2 | October 4 | Solution 2 |
Exercise Sheet 3 | October 11 | Solution 3 |
Exercise Sheet 4 | October 18 | Solution 4 |
Exercise Sheet 5 | November 1 | Solution 5 |
Exercise Sheet 6 | November 8 | Solution 6 |
Exercise Sheet 7 | November 15 | Solution 7 |
Exercise Sheet 8 | November 22 | Solution 8 |
Exercise Sheet 9 | November 29 | Solution 9 |
Exercise Sheet 10 | December 6 | Solution 10 |
Exercise Sheet 11 | December 13 | Solution 11 |
Exercise Sheet 12 | December 20 | Solution 12 |
Exercise Sheet 13 | December 27 | Solution 13 |
Office hours during the semester with assistants from group 3 are available on Mondays and Thursdays starting from the fourth week of the semester. More information can be found here. Note that you can also ask questions during the exercise classes.
The forum for this course can be found here.
The grade for this course is based solely on the final exam. The exam is oral, 30 minutes (no preparation time) and will cover all the material discussed during the lectures and all the material from the exercise sheets (except if explicitly stated otherwise).
Office hours during the winter break with assistants from group 3 will be available in the last two weeks before the exam session. More information can be found here.
While there are many textbooks on mathematical finance, none of them is ideal to cover the contents of this course. References include the following books: