Stochastic Analysis and Mathematical Finance – Summer Term 2018

Stochastic Analysis and Mathematical Finance – Summer Term 2018

On this webpage, you find all information pertaining to my course on Stochastic Analysis and Mathematical Finance held in the summer term 2018 at the University of Trier.

General Information

Since I am on a research visit until mid April, the lectures will begin two weeks later than usual. That is:

  • The lectures begin on Monday, April 23.

Moreover, there will not be any lectures/exercises on the following dates:

  • Mai 01: Labor Day
  • Mai 21, 22, and 23: Pentecost Break (“Pfingstferien”)
  • June 18, 19, and 20
  • June 25, 26, and 27

To make up for the cancelled lectures, we will have three lectures per week instead of the usual two per week. Dont’t worry: With this, the total number of lectures comes out to be exactly as scheduled – I did the math!

The lectures take place on

  • Monday, 10:15 – 11:45 in HS 8.
  • Tuesday, 10:15 – 11:45 in HS 8.
  • Wednesday, 12:15 – 13:45 in E 50.

The exercise classes take place on

  • Monday, 16:15 – 17:45 in E 45.

Exercise sheets are generally uploaded every Wednesday and are due on Wednesday at 13:45 of the following week. You can submit your solutions in groups of 2-3 in the post box E14 on the ground floor of building E. To qualify for the final exam, you are required to attain at least 50% of the points on the exercise sheets and be able to demonstrate in the exercise classes that you have fully understood the solutions that your group has handed in.

Lecture Notes and Slides

The course will follow the excellent lecture notes of Prof. Frank Seifried. The notes will be made available for download shortly.

The slides presented during the lectures can be downloaded here:

Exercise Sheets

The exercise sheets will be made available for downloaded here.

Simulations

The simulations presented during the lectures will be made available for downloaded here.