Finanzmathematik II / Stochastic Calculus and Arbitrage Theory in Continuous Time
Prof. Dr. Thilo Meyer-Brandis, Miguel Armayor Martínez
Schedule and Venue
| Events | Date, Time | Room |
|---|---|---|
| Lectures Prof. Dr. Thilo Meyer-Brandis | Tuesdays, 12:15 - 13:45 Thursdays, 10:15 - 11:45 First Lecture: 13.10.2026 | B006 B006 |
| Exercise Classes Miguel Armayor Martínez | Wednesdays, 16:15 - 17:45 First Exercise Class: 14.10.2026 | B006 |
| Final Exam | TBA | TBA |
| Retake Exam | TBA | TBA |
The course will be organised via Moodle. If you wish to participate, please sign up by sending an email from your LMU email address to Miguel Armayor Martínez.
The lecture provides an introduction to stochastic calculus with an emphasis on the mathematical concepts that are later used in the mathematical modeling of financial markets.
In the first part of the lecture course the theory of stochastic integration with respect to Brownian motion and Itô processes is developed. Important results such as Girsanov's theorem and the martingale representation theorem are also covered. The first part concludes with a chapter on the existence and uniqueness of strong and weak solutions of stochastic differential equations.
The second part of the lecture course gives an introduction to the arbitrage theory of financial markets in continuous time driven by Brownian motion. Key concepts are the absence of arbitrage, market completeness, and the risk neutral pricing and hedging of contingent claims. Particular attention will be given to the the Black-Scholes model and the famous Black-Scholes formula for pricing call and put options.
Problem Sheets: During the course, weekly problem sheets will be uploaded on Moodle. Correcting your answers and thinking through the exercises is the best preparation for the exam. Please try to solve every problem sheet.
Details TBA on Moodle.