Stochastic Processes and Continuous-time Financial Mathematics

Masters Lecture : Stochastic Processes and Continuous-time Financial Mathematics

Lecturer : Dr. Partha Pratim Ghosh and Yannic Steenbeck, M.Sc.

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 : Mondays 15:00-16:30 (PK 11.3); Tuesdays 13:15-14:45 (SN 23.2). 
• Exercise : Fridays 11:30-13:00 (SN 19.3).

Literature :

1. I. Karatzas and S.E. Shreve: Brownian Motion and Stochastic Calculus, Springer, 1988.
2. J. M. Steele. Stochastic Calculus and Financial Applications, Springer, 2001.