## 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.

**Upcoming Lectures**

Since **May 13**, Prof. Seifried is in charge of the lectures.

**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:

**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

**Exercise Sheets**

The exercise sheets can be downloaded here:

**Simulations**

**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).