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Mathematical Finance

Prof. Dr. Christian Bender



This lecture course covers the mathematical theory of financial markets in discrete time, while also introducing some basic continuous-time interest rate models.

Topics include:

  • Utility maximization in general one-period models; Capital Asset Pricing Model
  • Arbitrage, hedging, option pricing and the fundamental theorems of asset pricing in general one-period models
  • Multi-period models and self-financing portfolios
  • The fundamental theorems of asset pricing in multi-period models.
  • The Cox-Ross-Rubinstein model and the Black-Scholes formula
  • Early-exercise options
  • Interest rate derivatives (e.g., forward rate agreements, swaps, caps, swaptions)
  • Short rate models



  • Tuesdays, 12:15-1:45pm, Hörsaal III (building E2 5)
  • Thursdays, 8:30-10am, Hörsaal III (building E2 5)



Fridays, 8:30-10:00, Seminarraum 9 (building E2 4). Start date: 11/03.



The course (lectures and tutorials) will be taught in English, unless all participants agree on German.  The oral exam can be taken in English or in German.


Recommended Prerequisites

  • Stochastik I
  • Stochastics II (can be attended in parallel)



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