We develop the continuous-time theory of Mathematical Finance. Motivating each concept by financial-economic considerations, we introduce the necessary tools from Stochastic Analysis. These are then used to discuss financial models, most notably stochastic volatility models. The last part of the course is devoted to stochastic optimal control problems arising in finance.
The lecture is part of the BMS curriculum and will be taught in English.
- Trainer/in: Peter Bank
- Trainer/in: Heather Franziska Bielert