Workgroup Financial Mathematics
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Finanzmathematik II

Lecture: Prof. Dr. T. Meyer-Brandis Exercises: A. Groll Tutorials: H. Hoffmann

Date and Time

  • Lectures: Tue 12:00 to 14:00 (Room B 006) & Wed 12:00 to 14:00 (Room B 006).
  • Exercises: Tue 16:00 (s.t.) to 17:30 (Room B  006).
  • Tutorials (supplementary exercises): Wed 10:00 to 12:00 (Quant Lab, Room B  120).

Further Information

  • The re-take exam results are available here: exam results (PDF, 164 KB). The students have the possibility to review their exam result on Wed, 23.10.2013, from 10:00 - 11:00 in room 235.
  • The exam results are available here: exam results (PDF, KB179). The students have the possibility to review their exam result on Friday, 26.07.2013, from 10:00 - 11:00 in room 229.
  • The exam will take place on  Wed, 17.07.2013,  from 12:00 to 14:00 (Room B 006).
  • THE RE-TAKE EXAM WILL TAKE PLACE ON WED, 16.10.2013, FROM 10:00 TO 12:00 (CONFERENCE ROOM B 349).
  • The problem sheets will be corrected by Michael Bär (consultation hour on appointment). 
  • The students can return their solutions of the problem sheets at the end of the lectures or exercises (please regard the corresponding deadlines on the problem sheets).

Lecture Notes

Problem and Answer Sheets

Additional Reading

The lecture will not follow a particular textbook. The list below provides a short selection of English textbooks on the subject:

Stochastic calculus:

  • C. Dellacherie and P. A. Meyer. Probabilities and Potential B: Theory of Martingales. North-Holland, Amsterdam, 1982.
  • I. Karatzas and S. E. Shreve. Brownian Motion and Stochastic Calculus. Springer, New York, second edition, 1991.
  • B. Oksendal. Stochastic Differential Equations: An Introduction with Applications. Springer, Berlin, sixth edition, 2003.

Continuous Time Finance:

  • T. Björk. Arbitrage Theory in Continuous Time. Oxford University Press, New York, third edition, 2009.
  • I. Karatzas and S. E. Shreve. Methods of Mathematical Finance. Springer, New York, 1998.
  • B. Oksendal. Stochastic Differential Equations: An Introduction with Applications. Springer, Berlin, sixth edition, 2003.