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Finanzmathematik III

Prof. Dr. Thilo Meyer-BrandisHannes Hoffmann

Schedule and Venue

Introduction to Stochastic Calculus
Sorin Nedelcu

For further details please follow the link

on the left hand side.

Prof. Dr. Thilo Meyer-Brandis

Tue 12:15-13:45

Wed 12:15-13:45

First lecture: 08.04.

B 006

B 005

Hannes Hoffmann

Tue 16:15-17:45

First exercise: 15.04.

B 120


Final Written Exam (Results available)

Re-Take Exam

Wed 09.07. from 12:00-14:00

Wed 10.09. from 12:00-14:00

B 005

B 005

Course Description

The lecture provides an introduction to the arbitrage theory of the Bond market and interest rate sensitive derivatives. The following topics will be covered

  • Introduction to interest rates and interest rate products: Bonds, LIBOR, Swaps, Caps, Floors, Swaptions, Market Conventions.
  • Arbitrage pricing: portfolios, arbitrage, hedging valuation.
  • Short-rate models
  • HJM methodology
  • Forward measures
  • Market models


Main reference:
  • D. Filipovic (2009) Term-Structure Models: A Graduate Course (Springer Finance / Springer Finance Textbooks)
Other references:
  • Brigo, D. Mercurio, F. (2006) Interest Rate Models: Theory and Practice: with Smile, Inflation and Credit. 2nd ed. Springer Finance.
  • Björk, T. (2009) Arbitrage Theory in Continuous Time. 3rd ed. Oxford University Press, New York
  • Oksendal. B. (2003) Stochastic Differential Equations: An Introduction with Applications. 6th ed. Springer, Berlin

For whom is this course?

Target Participants: Master students of Business Mathematics or Mathematics.

Pre-requisites: a strong command of measure-theoretic probability and stochastic calculus is assumed. It is assumed that the students attended the lecture Finanzmathematik II. We highly recommend to attend the repetition course introduction to stochastic calculus.

Applicable credits: Students may apply the credits from this course to Masterprüfungen Wirtschaftsmathematik (WP37), and Mathematik (WP7).

Final Exams

The exam is a 120-minutes written exam and will take place on Wednesday 09.07 at 12:00 o'clock in room B005. Please attend 10 minutes before the beginning of the Exam at the latest to handle some organisational issues.
It is not allowed to bring other sources of information (e.g. the lecture notes or an additional helping sheet) to the exam.
The exam results are now available. Due to new guidelines we are not allowed to put the results on the webpage anymore. Please look at the glass case in front of the secretaries office B233. The students have the possibility to review their exam result on Wed, 16th Jul. 2014, from 10:00 - 11:00 o'clock in room B235.