Mathematical Finance I – Winter Term 2019/20

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 dates for the oral exams have been fixed and can be found below. Please register in advance during the office hours of the course’s assistants.
  • The lecture notes have been updated an contain the entire Chapter 4 now.
  • Exercise Sheet 9 is now available for download below. Please submit your solutions by December 18, 12:00 noon.

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.

Oral Exams

Oral examinations are offered on the following dates:

  • February 20, 2020
  • March 10, 2020
  • April 06, 2020

Please register for the exams in advance. You can do so during the office hours of either Emanuel Rapsch or David Besslich.

Lecture Notes

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

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 / November 01.
  • Exercise Sheet 2: Submission by October 30, 12:00 noon. Discussion in exercise classes on November 06 / 08.
  • Exercise Sheet 3: Submission by November 06, 12:00 noon. Discussion in exercise classes on November 13 / 15.
  • Exercise Sheet 4: Submission by November 13, 12:00 noon. Discussion in exercise classes on November 20 / 22.
  • Exercise Sheet 5 and Jupyter File: Submission by November 20, 12:00 noon. Discussion in exercise class on November 26.
  • Exercise Sheet 6: Submission by November 27, 10:00 (or during the lectures). Discussion in exercise classes on December 04 / 06.
  • Exercise Sheet 7 and Bonus Exercise Sheet: Submission by December 04, 12:00 noon. Discussion in exercise classes on December 11.
  • Exercise Sheet 8: Submission by December 11, 12:00 noon. Discussion in exercise classes on December 18 / 20.
  • Exercise Sheet 9: Submission by December 18, 12:00 noon. Discussion in exercise classes on January 08 / 10.