Antonis Papapantoleon
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3236 L 283 Finanzmathematik II
The lectures take place on:- Monday 16:00–18:00 @ MA 004
- Wednesday 14:00–16:00 @ MA 005
- Tuesday 16:00–18:00 @ MA 043
- Available in the ISIS system.
- Thu 25.07.2013: Doodle link
- Thu 12.09.2013: Doodle link
- Wed 02.10.2013: Doodle link
Main references
- D. Lamberton, B. Lapeyre: Introduction to Stochastic Calculus Applied to Finance, 2nd ed., Chapman & Hall, 2007
- B. Øksendal: Stochastic Differential Equations, 3rd. ed., Springer, 1992.
- S. Shreve: Stochastic Calculus for Finance II. Springer, 2004.
- J. M. Steele: Stochastic Calculus and Financial Applications. Springer, 2001.
- P. J. Hunt, J. E. Kennedy: Financial Derivatives in Theory and Practice. Wiley, 2005.
- F. Delbaen, W. Schachermayer: The Mathematics of Arbitrage, Springer, 2006.
- I. Karatzas, S. Shreve: Brownian Motion and Stochastic Calculus, 2nd ed., Springer, 1991.
- D. Revuz, M. Yor: Continuous Martingales and Brownian Motion, 3rd ed., Springer 1999.
- J. Jacod, A. Shiryaev: Limit Theorems for Stochastic Processes, 2nd ed., Springer, 2003.
- Ph. Protter: Stochastic Integration and Differential Equations, 2nd ed., Springer, 2005.
- T. Björk Arbitrage Theory in Continuous Time, 3rd. ed., OUP, 2009.
- R.-A. Dana, M. Jeanblanc: Financial Markets in Continuous Time, Springer, 2003.
- M. Jeanblanc, M. Yor, M. Chesney: Mathematical Methods for Financial Markets, Springer, 2009.
- M. Musiela, M. Rutkowski: Martingale Methods in Financial Modelling. Springer, 2009.