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Stochastic Calculus and Finance

Stochastic Calculus and Finance
Typ: Vorlesung (V) Links:
Zielgruppe: Master
Semester: WS 19/20

Blockveranstaltung, Termine werden über Ilias bekanntgegeben


Blockveranstaltung, Termine werden über Ilias bekanntgegeben

Dozent: Dr. Mher Safarian
SWS: 2
LVNr.: 2521331


The course will provide rigorous yet focused training in stochastic calculus and finance. The program will cover modern approaches in stochastic calculus and mathematical finance. Topics to be covered: 

  1. Stochastic Calculus. Stochastic Processes, Brownian Motion and Martingales, Stopping Times, Local martingales, Doob-Meyer Decomposition, Quadratic Variation, Stochastic Integration, Ito Formula, Girsanov Theorem, Jump-diffusion Processes. Stable and tempered stable processes. Levy processes.
  2. Mathematical Finance: Pricing Models. The Black-Scholes Model, State prices and Equivalent Martingale Measure, Complete Markets and Redundant Security Prices, Arbitrage Pricing with Dividends, Term-Structure Models (One Factor Models, Cox-Ingersoll-Ross Model, Affine Models), Term-Structure Derivatives and Hedging, Mortgage-Backed Securities, Derivative Assets (Forward Prices, Future Contracts, American Options, Look-back Options), Option pricing with tempered stable and Levy-Processes and volatility clustering, Optimal Portfolio and Consumption Choice (Stochastic Control and Merton continuous time optimization problem), Equilibrium models, Consumption-Based CAPM, Numerical Methods.



Wird in der Vorlesung bekannt gegeben.

Weiterführende Literatur:

  • Dynamic Asset Pricing Theory, Third Edition. by Darrell Duffie, Princeton University Press, 1996
  • Stochastic Calculus for Finance II: Continuous-Time Models, by Steven E. Shreve , Springer, 2003
  • An Introduction to Stochastic Integration (Probability and its Applications) by Kai L. Chung , Ruth J. Williams , Birkhaueser,
  • Methods of Mathematical Finance by Ioannis Karatzas , Steven E. Shreve , Springer 1998
  • Kim Y.S. ,Rachev S.T. ,Bianchi M-L, Fabozzi F. Financial market models with Levy processes and time-varying volatility, Journal of Banking and Finance, 32/7,1363-1378, 2008.
  • Hull, J., Options, Futures, & Other Derivatives, Prentice Hall, Sixth Edition, (2005).