## Stochastic Analysis and Mathematical Finance – Summer Term 2017

On this webpage, you find all information on the exercise classes and tutorials accompanying Prof. Seifried’s **Stochastic Analysis and Mathematical Finance** lecture, held in the summer term 2017 at the University of Trier. For all relevant information on the lecture, please consult **Prof. Seifried’s website**.

**General Information**

You are expected to hand in solutions to exercises. Exercise sheets will generally be uploaded every Wednesday in any given week and be due on Wednesday at 14:15 of the following week. You can submit your solutions in the post box E14 on the ground floor of building E.

To qualify for the final exam, you are required to attain 50% of the points, and to be able to demonstrate in the exercise classes that you have fully understood the solutions that your group has handed in. You can submit in groups of 2-3.

The **exercise classes** take place on

**Tuesday, 08:45 – 10:15 in E52.**

The exercise classes start on Mai 02.

The **tutorials** take place on

**Wednesday, 14:15 – 15:45 in HS9.**

The tutorials start on April 26.

**Exercise Sheets**

The exercise sheets can be downloaded here:

**Exercise Sheet 01**: Due on Wednesday, April 26, 14:15.**Exercise Sheet 02**: Due on Wednesday, Mai 03, 14:15.**Exercise Sheet 03**: Due on Wednesday, Mai 10, 14:15.**Exercise Sheet 04**: Due on Wednesday, Mai 17, 14:15.**Exercise Sheet 05**: Due on Wednesday, Mai 24, 14:15.**Exercise Sheet 06**: Due on Wednesday, Mai 31, 14:15.**Exercise Sheet 07**: Due on Wednesday, June 14, 14:15.**Exercise Sheet 08**: Due on Wednesday, June 21, 14:15.**Exercise Sheet 09**: Due on Wednesday, June 28, 14:15.**Exercise Sheet 10**: Due on Wednesday, July 05, 14:15.**Exercise Sheet 11**: Due on Wednesday, July 12, 14:15.

**Tutorial Slides**

The slides presented during the tutorials can be downloaded here:

- Tutorial 01:
**Overview.** - Tutorial 02:
**Arbitrage and Arbitrage Bounds** - Tutorial 03:
**Lebesgue-Stieltjes Integration.** - Tutorial 04:
**Weak Convergence in the CRR Model** - Tutorial 05:
**Existence of Quadratic Variation** - Tutorial 06:
**Ito and Stratonovich Integration** - Tutorial 07:
**Proof of Itô’s Formula** - Tutorial 08:
**Options and Market Models** - Tutorial 09:
**Option Pricing in the Black-Scholes Model** - Tutorial 10:
**The Feynman-Kac Representation**