Stochastic Processes and Continuous-time Financial Mathematics

Stochastic Processes and Continuous-time Financial Mathematics

Masters Lecture : Stochastic Processes and Continuous-time Financial Mathematics

Lecturer : Dr. Partha Pratim Ghosh

Content : The lecture focuses on stochastic processes in continuous time (mainly: Brownian motion and related processes with continuous paths) and their applications in financial mathematics. 

Prior knowledge : Introduction to stochastics, probability theory and discrete-time financial mathematics.

Time and place : 

  • Lecture : Tuesdays 13:15-14:45 (SN 23.2); Wednesdays 15:00-16:30 (PK 4.7). 
  • Exercise : Thursdays 13:15-14:45 (SN 23.2).

Literature :

  1. I. Karatzas and S.E. Shreve: Brownian Motion and Stochastic Calculus, Springer, 1988.
  2. J. M. Steele. Stochastic Calculus and Financial Applications, Springer, 2001.