INFORMATION AND HOMEWORK
The course will give a comprehensive introduction to financial mathematics based on stochastic differential equations driven by Brownian motion. It will develop the theory of SDE and stochastic integration, thus gives an introduction to these subjects at the same time.
Special Topics in Finance:
Binomial model, portfolio dynamics, arbitrage pricing, Black-Scholes formula, incomplete markets derivatives and options, LIBOR and swap markets.
Special topics in SDE:
Brownian motion, martingales, stopping times, stochastic integration, Ito formula, Girsanov's theorem, stochastic differential equations, martingale measures.