Tuesdays, 08:30 - 10:00 a.m. (M5)
Wednesdays, 10:15 - 11:45 a.m. (M6)

The lectures will take place in presence.

This Master course gives an introduction to financial mathematics in continuous time. Starting with the famous Black-Scholes Model the basic principles for pricing derivatives in financial markets are explained. After introducing resp. repeating some basic knowledge of stochastic analysis a detailed investigation of models driven by a Wiener-process is provided. The therefore needed concepts of no arbitrage, hedging, equivalent martingale measure etc. will be thoroughly introduced and applied to pricing of options and other derivatives. A further main topic is the modelling of Bond markets and the pricing of fixed income securities. Short-rate models as the Vasicek-, CIR and Hull White model together with Libor Market models are presented and analysed.

Some knowledge of stochastic analysis is helpful but not necessary. The course is self-contained. All necessary mathematical tools, in particular a brief introduction into Ito calculus, will be provided in the course.