Department of Mathematics

Introduction to Mathematical Finance

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Lecturer Prof. Dr. H. Mete Soner
Lectures Wednesday,
10–12, in HG E 33.1,
      Friday, 8–10, in HG D 5.2.
Coordinator Max Reppen
Exercises Wednesday,
14-15, in HG F 26.3,
        15-16, in HG E 21.

Course code:

First lecture:
Wednesday, February 18.
First exercise class:
Wednesday, February 25. Additional class and rooms are to be determined.

Course attendance confirmation (Testat) requirements:

Click here for information on the exercises.

Question times ("Präsenz"):
Mondays and Thursdays, 12:00–13:00, in HG G 32.6.
Question times during vacation ("Ferienpräsenz"):
see Ferienpräsenz

Exam preparation

The latest questions for preparing for the final exam can be found here, and the latest solutions here.

Course content

A course syllabus can be found here.

This course focuses on discrete time financial markets and requires a basic knowledge of measure theoretic probability theory and will be offered every year in the Spring semester. The textbook by Föllmer and Schied or lecture notes similar to that will be used.

This course is the first of a two sequence courses on mathematical finance. The second course Mathematical Finance, (MFII) 401-4889-00 focuses on continuous time models. It is advisable that this course is taken prior to MFII.

Assistant hour

Every Monday and Thursday assistants will be available to answer questions related to the course. For detailed information about place and time, please follow this link.

Lecture notes

The textbook by Föllmer and Schied will be followed and lecture notes will be provided when needed.


Tentative schedule

Lecture Date — Section(s) in Föllmer and Schied (FS) or Topic —
    Arbitrage: One Step Models
1 18.02.2015 Sections 1.1, 1.2 in FS
2 20.02.2015 Sections 1.1, 1.2 in FS
3 25.02.2015 Sections 1.3, 1.4 in FS
4 27.02.2015 Sections 1.3, 1.4 in FS
5 4.03.2015 Sections 1.5, 1.6 in FS
6 6.03.2015 Section 1.6 in FS
    Arbitrage: Multi Step Models
7 11.03.2015 Sections 5.1, 5.2 in FS
8 13.03.2015 Sections 5.1, 5.2 in FS
9 18.03.2015 Sections 5.3, 5.4 in FS
10 20.03.2015 Sections 5.1, 5.2 in FS
11 25.03.2015 Section 5.5 in FS
12 27.03.2015 Section 5.7 in FS
13 1.04.2015 Chapter 7
14 15.04.2015 Chapter 7
15 17.04.2015 Chapter 7
    Utility and Preferences
16 22.04.2015 Chapter 2
17 24.04.2015 Chapter 2
18 29.04.2015 Chapter 2
19 6.05.2015 Chapter 3
20 8.05.2015 Chapter 3
21 13.05.2015 Chapter 3
    Utility Maximization - Merton problem
22 15.05.2015 Lecture Notes
23 20.05.2015 Lecture Notes
24 22.05.2015 Lecture Notes
25 27.05.2015 Lecture Notes
26 29.05.2015 Lecture Notes

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© 2016 Mathematics Department | Imprint | Disclaimer | 4 August 2015