Stochastic Analysis and Mathematical Finance – Summer Term 2019

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.

News

  • Exercise Sheet 02 is now available for download below. Please submit your solutions by Wednesday, April 24, 12:00.
  • The lecture on Monday, April 15, has to be moved to Thursday, April 18, 12:15h in E 51.
  • Starting April 24, the Wednesday lectures will be from 08:30 to 10:00.
  • Due to Easter holidays, the first exercise class takes place on Thursday, 25.04., 12:15 in E 51.

General Information

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.

Oral Exams

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:

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

Exercise Sheets

The exercise sheets can be downloaded here: