## Mathematical Finance I – Winter Term 2019/20

On this webpage, you find all information pertaining to my course on **Mathematical Finance I** held in the winter term 2019/20 at Technische Universität Berlin. You may also want to have a look at the **ISIS site of this course**.

**News**

- The
**lecture notes**have been update and now contain Chapter 2 on Finite Financial Market Models. - The first two
**exercise sheets**are now available for download below.

**Course Contents**

In this course, we discuss the following contents:

- Basics of Financial Markets, Derivatives, and Arbitrage
- Finite Financial Market Models
- Risk Neutral Pricing and the Fundamental Theorems of Asset Pricing
- American Options and Optimal Stopping
- Stochastic Analysis for Brownian Motion
- Black-Scholes Model, PDE Pricing and Feynman-Kac Representations
- Optimal Investment and Stochastic Control

**Lectures and Exercise Classes**

The **lectures** take place on

- Tuesday, 08:15 – 09:45 in MA 042
- Wednesday, 10:15 – 11:45 in MA 141.

In addition, we offer **exercise classes** which take place on

- Wednesday, 12:15 – 13:45 in MA 141 (David Beßlich)
- Friday, 10:15 – 11:45 in MA 004 (Emanuel Rapsch).

You are free to choose which exercise class you would like to attend. Exercise sheets are generally uploaded every Wednesday and are due on Wednesday of the following week. The exercise sheets can be found in the **ISIS page**. You can either submit your solutions in the lecture or in the exercise class on Wednesday. You are requested to submit your solutions in groups of 2-3 and expected to achieve at least 50% of the overall points throughout the semester.

**Lecture Notes**

The current version of the lecture notes can be downloaded here:

**Mathematical Finance I Lecture Notes**(Version: October 15)

**Exercise Sheets**

The exercise sheets can be downloaded here:

**Exercise Sheet 0**: No submission! Discussion in exercise classes on October 23/25.**Exercise Sheet 1**: Submission by October 23, 12:00 noon. Discussion in exercise classes on October 30/31.