Department of Mathematics

Introduction to Mathematical Finance

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Lecturer Prof. Dr. Martin Schweizer
Lectures Tuesday,
8-10, in HG G 5,
      Thursday, 8–10, in HG D 5.2.
Coordinator Max Reppen
Exercises Wednesday,
14-15, in HG F 26.3, starting March 9,
        15-16, in HG E 21, starting February 24.

Course code:

First lecture:
Wednesday, February 23.
First exercise class:
Wednesday, February 24.

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

Course details

This is an introductory course on the mathematics for investment, hedging, portfolio management, asset pricing and financial derivatives in discrete-time financial markets. We discuss arbitrage, completeness, risk-neutral pricing and utility maximisation. We prove the fundamental theorem of asset pricing and the hedging duality theorems, and also study convex duality in utility maximization.

This course focuses on discrete-time financial markets and presumes a knowledge of measure-theoretic probability theory (as taught e.g. in the course "Probability Theory"). The course will be offered every year in the Spring semester. The textbook by Föllmer and Schied or lecture notes similar to that will be used.

Recommended literature

The textbook by Föllmer and Schied or lecture notes similar to that will be used. However, actual lecture notes will not be available.

    Hans Föllmer and Alexander Schied, "Stochastic Finance: An Introduction in Discrete Time", de Gruyter


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

A related course is "Mathematical Foundations for Finance" (MFF), 401-3913-01. Although both courses can be taken independently of each other, only one will be given credit points for the Bachelor and the Master degree. In other words, it is also not possible to earn credit points with one for the Bachelor and with the other for the Master degree.


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© 2016 Mathematics Department | Imprint | Disclaimer | 26 February 2016