105.131 Mathematical Finance 2: Continuous-Time Models
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2023S, UE, 2.0h, 3.5EC


  • Semester hours: 2.0
  • Credits: 3.5
  • Type: UE Exercise
  • Format: Presence

Learning outcomes

After successful completion of the course, students are able to...

Value and hedge financial instruments and portfolios,
solve the pertinent equations,
present solutions of exercises at the black board,
Appraise suggestions and solutions of their peers,
evaluate own achievements critically,
discuss problems and solution attempts with peers and teachers in a constructive spirit

Subject of course

Traditional exercises accompagning the lecture. Exercises illustrate and extend the material of the course. We try to solve exercises related to the following topics: Recaptiulating some probability theory, Forwards, Futures, and Options, Trading strategies, Arbitrage (Fundamental Theorem of Asset Pricing) Put-call parity, option price range, option pricing, risk neutral evaluation, replicating trading strategies, Brownian motion (Wiener process), martingales, Ito's formula, change of measure (Girsanov's theorem), Black-Scholes equation, simple stochastic differential equations, implicit volatility, greeks.

Teaching methods

Black board presentation of prepared exercises

Mode of examination


Additional information

This exercise course will be in presence. Only if necessary, we will switch it to Zoom.



Course dates

Thu12:00 - 14:0016.03.2023 - 22.06.2023FH Hörsaal 4 .
Mathematical Finance 2: Continuous-Time Models - Single appointments
Thu16.03.202312:00 - 14:00FH Hörsaal 4 .
Thu23.03.202312:00 - 14:00FH Hörsaal 4 .
Thu30.03.202312:00 - 14:00FH Hörsaal 4 .
Thu20.04.202312:00 - 14:00FH Hörsaal 4 .
Thu27.04.202312:00 - 14:00FH Hörsaal 4 .
Thu04.05.202312:00 - 14:00FH Hörsaal 4 .
Thu11.05.202312:00 - 14:00FH Hörsaal 4 .
Thu01.06.202312:00 - 14:00FH Hörsaal 4 .
Thu15.06.202312:00 - 14:00FH Hörsaal 4 .
Thu22.06.202312:00 - 14:00FH Hörsaal 4 .

Examination modalities

Number of exercises solved, presentation


DayTimeDateRoomMode of examinationApplication timeApplication modeExam
Thu - 27.06.2024assessedno application-Benotung zu Semesterende (2024S)

Course registration

Begin End Deregistration end
31.12.2022 00:00 08.03.2023 23:59 30.03.2023 23:59


Study CodeObligationSemesterPrecon.Info
066 405 Financial and Actuarial Mathematics Mandatory
860 GW Optional Courses - Technical Mathematics Not specified


No lecture notes are available.

Accompanying courses


  • Attendance Required!