Mathematical Finance Autumn 2024

Lecturer
Prof. Dr. Beatrice Acciaio
Coordinator
Chiara Rossato
Lectures
Thursday 8:15-10 ML F 39
Friday 8:15-10 HG D 3.2
Exercise Classes
The first exercise class is on September 27, during the second week of the semester.
Friday 10:15-12 ML F 39
Important information for the last weeks:
Course organisation
Lectures and exercise classes are scheduled to be in-person (except if explicitly stated otherwise). There will be no recordings.
The course is based on different parts from different books, as well as on original research literature. There are no lecture notes for this course. However, notes written by the lecturer in class are available here.
Course Catalogue
401-4889-00L Mathematical Finance
Exam
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).

Content

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 to be covered include

Prerequisites

Prerequisites are the standard courses

Those students who already attended "Introduction to Mathematical Finance" will have an advantage in terms of ideas and concepts. This course is the second of a sequence of two courses on mathematical finance. The first course "Introduction to Mathematical Finance" (MF I), 401-3888-00L, focuses on models in finite discrete time. It is advisable that the course MF I is taken prior to the present course, MF II. For an overview of courses offered in the area of mathematical finance, see Link.

Office hours

The assistants of Group 3 (Probability Theory, Insurance Mathematics and Stochastic Finance) offer regular office hours for questions on courses and exercise classes taught by the professors in the group. Click here for more information. Note that you can also ask questions during the exercise classes.

Exercises

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.

Even though it is not compulsory, you are strongly encouraged to solve the exercises and hand in 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 {email address}_{exercise sheet number}.pdf (e.g. andrey.kolmogorov@probability.com_1.pdf)
  3. Upload your solution using the button below before 12:00 on the indicated Wednesday. The password will be emailed to the enrolled students

Late submissions will not be considered.

Exercise sheet Due by Solutions
Exercise sheet 1 October 2, 2024 Solutions 1
Exercise sheet 2 October 9, 2024 Solutions 2
Exercise sheet 3 October 16, 2024 Solutions 3
Exercise sheet 4 October 23, 2024 Solutions 4
Exercise sheet 5 October 30, 2024 Solutions 5
Exercise sheet 6 November 6, 2024 Solutions 6
Exercise sheet 7 November 13, 2024 Solutions 7
Exercise sheet 8 November 20, 2024 Solutions 8
Exercise sheet 9 November 27, 2024 Solutions 9
Exercise sheet 10 December 4, 2024 Solutions 10

Literature

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: