This is the first part of a one year course on financial mathematics. The objective of the course is to give an introduction to the probabilistic techniques required to understand the most widely used models of mathematical finance. The course is intended for undergraduate and graduate students in mathematics, but it might also be useful for students in economics and operations research.
Topics covered in the first semester are
- Mathematical finance in one period models
- Dynamic hedging in discrete time
- Binomial tree models
- Optimal stopping and American options
- Introduction to continuous time models
The theoretical discussion of the models will be accompanied by practical option pricing examples utilizing the open source QuantLib financial library.
- Kursverantwortliche/r: Gevorg Adamyan
- Kursverantwortliche/r: Sebastian Schlenkrich
Semester: WiSe 2023/24