Masters Lecture : Stochastic Processes and Continuous-time Financial Mathematics
Lecturer : Dr. Partha Pratim Ghosh
Content : The lecture focuses on stochastic processes in continuous time (mainly: Brownian motion and related processes with continuous paths) and their applications in financial mathematics.
Prior knowledge : Introduction to stochastics, probability theory and discrete-time financial mathematics.
Time and place :
- Lecture : Tuesdays 13:15-14:45 (SN 23.2); Wednesdays 15:00-16:30 (PK 4.7).
- Exercise : Thursdays 13:15-14:45 (SN 23.2).
Literature :
- I. Karatzas and S.E. Shreve: Brownian Motion and Stochastic Calculus, Springer, 1988.
- J. M. Steele. Stochastic Calculus and Financial Applications, Springer, 2001.
