318001 Finance 2 (V) (SoSe 2026)

In this class, we will consider classical topics of mathematical finance in continuous time. We adress the pricing of contingent claims as options and futures. Doing so, we learn about the important concepts of no-arbitrage, risk neutral pricing and the fundamental theorems of asset pricing.

Furthermore, we adress the problem of optimal portfolio choice in continuous time using techniques from dynamic programming.
The course is accompanied by an exercise class, that contain also exercise sessions on computational finance using R.

Requirements for participation, required level

Knowledge in Stochastic Analysis

Bibliography

Shreve, S. E. (2004). Stochastic calculus for finance II: Continuous-time models (Vol. 11). New York: springer.
Oksendal, B. (2013). Stochastic differential equations: an introduction with applications. Springer Science & Business Media.
Pham, H. (2009). Continuous-time stochastic control and optimization with financial applications (Vol. 61). Springer Science & Business Media.
Seydel, R., & Seydel, R. (2006). Tools for computational finance (Vol. 3). Berlin: Springer.