Sie sind hier: Startseite Studium und Lehre Wintersemester 2024/2025 Lecture Probability Theory III

Information on the lecture Probability Theoriy III – Stochastic Integration and Financial Mathematics (WS 2024/2025)

Lecturers: Prof. Dr. Thorsten Schmidt

Assistant: Moritz Ritter

Date:  Mon, Wed, 12-14 h, SR 404, Ernst-Zermelo-Straße 1

Exercise: 2 Tuesday, 12:30-14:00, SR 232, Ernst-Zermelo-Straße 1

ETCS: 9 points

Language: English

 

Contents

This lecture marks the culmination of our series on probability theory, achieving the ultimate goal of this series:
the combination of stochastic analysis and financial mathematics — a field that has yielded an amazing wealth of
fascinating results since the 1990s. The core is certainly the application of semimartingale theory to financial markets
culminating in the fundamental theorem of asset pricing. This results is used everywhere in financial markets for
arbitrage-free pricing.

After this we look into modern forms of stochastic analysis covering neural SDEs, signature methods, uncertainty and
term structure models. The lecture will conclude with an examination of the latest applications of machine learning
in financial markets and the reciprocal influence of stochastic analysis on machine learning.

 

News

 

 

Exercise

 

Literatur

Relevant literature will be announced during the course.

Necessary prior knowledge

A solid understanding of stochastic processes, as covered in Probability Theory II, is a prerequisite for this lecture.

 

Remark

 

 

Usable in the following modules:

Wahlpflichtmodul Mathematik (BSc21)
Angewandte Mathematik, Mathematik oder (nach Absprache mit Prüfer:in) Vertiefungsmodul (MSc14)
Advanced Lecture in Stochastics (MScData24)
Elective in Data (MScData24)
Mathematische Vertiefung (MEd18, MEH21)
Wahlmodul (MSc14)
Wahlmodul im Optionsbereich Individuelle Studiengestaltung (2HfB21)

 

Consulting hours

Sprechstunde Dozent: nach Vereinbarung
Sprechstunde Assistent: nach Vereinbarung