two dimensional Brownian motion

Elements of stochastic analysis, stochastic integration and option pricing in continuous time.

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Timetable

Here is the course’s teaching schedule. Check the description for possible other schedules.

DateTimeLocation
Tue 10.3.2020
14:15 - 16:00
Fri 13.3.2020
10:15 - 12:00
Tue 17.3.2020
14:15 - 16:00
Fri 20.3.2020
10:15 - 12:00
Tue 24.3.2020
14:15 - 16:00
Fri 27.3.2020
10:15 - 12:00
Tue 31.3.2020
14:15 - 16:00
Fri 3.4.2020
10:15 - 12:00
Tue 7.4.2020
14:15 - 16:00
Fri 17.4.2020
10:15 - 12:00
Tue 21.4.2020
14:15 - 16:00
Fri 24.4.2020
10:15 - 12:00
Tue 28.4.2020
14:15 - 16:00

Other teaching

11.03. - 08.04.2020 Wed 12.15-14.00
22.04. - 29.04.2020 Wed 12.15-14.00
Dario Gasbarra
Teaching language: English

Material

Lecture material

Tasks

Problems

The second part of the course is passed by solving the problems in the weekly assignments. (there will not be a final exam).
you can ask questions and hints about the exercises on the moodle chat, where after the deadline also the
solutions will be discussed.

Conduct of the course

The second part of the course is passed by solving the problems in the weekly assignments. (there will not be a final exam).
you can ask questions and hints about the exercises on the moodle chat, where after the deadline also the
solutions will be discussed.

Description

Optional course.

Master's Programme in Mathematics and Statistics is responsible for the course.

The course belongs to the Mathematics and Applied mathematics module.

Probability theory I,II, and their prerequisites

Stochastic analysis

Option pricing in continuous time

Recommended time/stage of studies for completion: 1. or 2. year

Term/teaching period when the course will be offered: varying

Financial markets in continuous time. Black and Scholes formula. Incomplete market models. Interest rate models.

Lecture notes; Baz & Chacko: Financial Derivatives

Exam, other methods will be described later