Stochastic Analysis and Mathematical Finance – Summer Term 2019
On this webpage, you find all information pertaining to my course on Stochastic Analysis and Mathematical Finance held jointly with Prof. Frank Seifried in the summer term 2019 at the University of Trier.
Since May 13, Prof. Seifried is in charge of the lectures.
Until further notice, the lectures take place on
- Monday, 12:15 – 13:45 in HS 10
- Tuesday, 14:15 – 15:45 in HS 7
- Wednesday, 08:30 – 10:00 in E 51.
The exercise classes take place on
- Monday, 14:15 – 15:45 in HS 9.
Exercise sheets are generally uploaded every Thursday and are due on Wednesday at 12:00 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 lecture notes of Prof. Frank Seifried. The notes can be downloaded via the following link:
- Lecture Notes by Prof. Seifried (Password Protected)
The lecture notes for my course on Stochastic Processes can be downloaded here:
Finally, the slides presented during the lectures can be downloaded here:
- Slides 01: Course Organization
- Slides 02: Contents of the Course
- Slides 03: Graphical proof of the First Fundamental Theorem of Asset Pricing
The exercise sheets can be downloaded here:
QuadraticVariationBM.m: Discretized Total Variation (black) and Quadratic Variation (red) of a Brownian Motion (blue).
QuadraticVariationStochInt.m: Discretized Total Variation (black) and Quadratic Variation (red) of a stochastic Integral (blue) of a Fractional Brownian Motion (blue dotted) integrated with respect to a Brownian Motion. Requires the function fbm1d.
SimpleIntegral.m: Stochastic Integral (red) of a Simple Integrand (black) with respect to a Brownian Motion (blue).