This course gives an introduction to probability theory and stochastic calculus in discrete and continuous time. The fundamental notions and techniques introduced in this course have many applications in finance, for example for option pricing, risk mana ...
The aim of the course is to apply the theory of martingales in the context of mathematical finance. The course provides a detailed study of the mathematical ideas that are used in modern financial mathematics. Moreover, the concepts of complete and incompl ...
Introduction to the mathematical theory of stochastic calculus: construction of the Ito stochastic integral, proof of the Ito formula, introduction to stochastic differential equations, Girsanov's theorem and the Feynman-Kac formula, the martingale represe ...
This course provides an overview of the theory of asset pricing and portfolio choice theory following historical developments in the field and putting
emphasis on theoretical models that help our understanding of financial decision
making and financial mar ...
The course covers advanced topics in corporate finance such as the design and valuation of corporate securities, the issuing process for theses securities, real options, and their implications for valuation, financial structuring, and business development. ...
Participants of this course will master computational techniques frequently used in mathematical finance applications. Emphasis will be put on the implementation and practical aspects. ...