Mathematical Foundations for Finance Autumn 2024

Lecturer
Prof. Dr. Dylan Possamaï
Coordinator
Daria Sakhanda
Lectures
Mon (2-weekly) 12:15-14:00 HG G 5
Tue (weekly) 10:15-12:00 CAB G 11
Exercise Classes
Fr 08:15-10:00 HG D 5.2
    10:15-10:00 HG D 5.2
Course Catalogue
401-3913-01L

Course Description

This course gives a first introduction to the main modelling ideas and mathematical tools from mathematical finance. It mainly aims at non-mathematicians who need an introduction to the main tools from stochastics used in mathematical finance. However, mathematicians who want to learn some basic modelling ideas and concepts for quantitative finance (before continuing with a more advanced course) may also find this of interest. The main emphasis will be on ideas, but important results will be given with (sometimes partial) proofs.

Topics to be covered include

Lectures

Lecture notes are available here. The lecture notes are protected by copyright, and their dissemination in any form is strictly prohibited.

The Introductory Chapter is particularly helpful for students who may not have prior exposure to financial concepts.

The slides used during the lectures:

Exercises

The first exercise class is on September 27th, in the second week of the semester.

New exercise sheets are uploaded below every Thursday before the corresponding Friday exercise class, along with solution to the exercise sheet from the previous week.

You are welcome to hand in your solutions, even though it is not obligatory. In case you decide to submit your solutions, this can be done electronically. Please follow the instructions below:

  1. Scan your solution into a single PDF file.
  2. Name the created file as {Last name_First name}_{exercise sheet number}.pdf
  3. Upload your solution here before 12:00 on the indicated Wednesday. Information about the SAM upload tool and its use can be found here.

Late submissions will not be considered. In case you submit your solution early and then decide to change something and submit again, we will only consider the most recent submission.

Please note that you have to be enrolled in an exercise group in mystudies in order to be able to submit your solution.

Exercise sheet Due by Solutions
Exercise sheet 1 October 2nd Solution 1
Exercise sheet 2 October 9th Solution 2
Exercise sheet 3 October 16th Solution 3
Exercise sheet 4 October 23rd Solution 4
Exercise sheet 5 October 30th Solution 5
Exercise sheet 6 November 6th Solution 6
Exercise sheet 7 November 13th Solution 7
Exercise sheet 8 November 20th Solution 8
Exercise sheet 9 November 27th Solution 9
Exercise sheet 10 December 4th Solution 10

Office Hours

Details regarding office hours during the semester can be found here.

Literature