Financial Mathematics in Continuous Time
Finanzmathematik in stetiger Zeit
8 CPirregularlyEN
Prerequisites
Recommended, as written
Knowledge of the contents of modules • 11217: Wahrscheinlichkeitstheorie • 13889: Stochastic Processes • 11350: Finanzmathematik II
Contents
• Basic concepts of stochastic analysis and the mathematical modeling of financial markets • Methods of stochastic optimal control for portfolio optimization • Dynamic programming and martingale method • Term structure models
Learning outcomes
After successfully completing the module, students understand the most important concepts of stochastic analysis for modeling stochastic financial markets. They are able to apply solution methods for selected problems in stochastic financial mathematics. Students have gained experience in independent scientific work using the example of topics in financial mathematics.
Assessment
• Written examination, 90 min. OR • Oral examination, 30-45 min. (with small number of participants) It will be announced in the first lecture whether the examination will organized in written or oral form.
Literature (4)
- Björk: Arbitrage Theory in Continuous Time, Oxford, 2009
- Oksendal: Stochastic Differential Equations, Springer, 2007
- Korn & Korn: Optionsbewertung und Portfolio-Optimierung. Vieweg+Teubner 2009
- Fleming & Soner: Controlled Markov Processes and Viscosity Solutions, Springer 2006
Remarks
• Study programme Mathematics M.Sc.: Compulsory elective module in the complex „Stochastics” • Study programme Mathematical Data Science M.Sc.: Compulsory elective module in the complex „Advanced Mathematical Methods in Data Science”
Source: BTU's module description · retrieved 19 Oct 2026Original