Advanced Financial Mathematics (Paulsen)
General Information
Lecture: 
Tuesdays, 08:30  10:00 a.m. (M5) The lectures will take place in presence. 
Lecturer:  PD Dr. Volkert Paulsen 
Assistance:  tba 
Contents: 
This Master course gives an introduction to financial mathematics in continuous time. Starting with the famous BlackScholes 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 Wienerprocess 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. Shortrate models as the Vasicek, CIR and Hull White model together with Libor Market models are presented and analysed.

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Tutorials  Weekly exercises will be given and discussed by the lecturer in a separate meeting. 
Examination:  A degree relevant examination can be provided by attending the tutorials and taking an oral examination. The required coursework is fulfilled if a suitable part of the tutorials are solved successfully. 