Teaching

General Information

Here is a Stochastic Processes and Mathematical Finance Curriculum (Studieninformation). Course material is available on Stud.IP.

2023 (winter)

• Lecture - Stochastische Prozesse (Stochastic Processes)

• Lecture - Finance C (with Marc-Oliver Rieger, Artem Dyachenko)

• Lecture - Maß- und Integrationstheorie (Measure and Integration Theory, by Berenice Neumann)

• Seminar - Stochastic Processes (TBA)

2023 (summer)

• Lecture - Stochastische Analysis und Mathematical Finance (Stochastic Analysis and Mathematical Finance)

• Lecture - Zinsstruktur- und Kreditrisikomodelle (Interest Rate and Credit Risk)

• Lecture - Optimales Stoppen (Optimal Stopping Theory, by Berenice Neumann)

• Lecture - Wahrscheinlichkeitsrechnung II (Introduction to Probability II, by Berenice Neumann)

• Seminar - Percolation Theory

2022 (winter)

• Lecture - Stochastische Prozesse (Stochastic Processes)

• Lecture - Finance C (with Marc-Oliver Rieger, Artem Dyachenko)

• Lecture - Wahrscheinlichkeitsrechnung I (Introduction to Probability, by Berenice Neumann)

• Seminar - Markov-Ketten und Erneuerungsprozesse (Markov Chains and Renewal Processes, by Berenice Neumann)

2022 (summer)

• Lecture - Stochastische Analysis und Mathematical Finance (Stochastic Analysis and Mathematical Finance)

• Lecture - Zinsstruktur- und Kreditrisikomodelle (Interest Rate and Credit Risk)

• Lecture - Wahrscheinlichkeitstheorie (Probability Theory, by Berenice Neumann)

• Seminar - Stochastische Algorithmen (Stochastic Algorithms)

2021 (winter)

• Lecture - Finance C (with Marc-Oliver Rieger, Artem Dyachenko)

• Lecture - Stochastische Prozesse (Stochastic Processes, by Berenice Neumann)

• Seminar - Credit Risk

2021 (summer)

• Lecture - Stochastische Analysis und Mathematical Finance (Stochastic Analysis and Mathematical Finance, by Berenice Neumann)

• Lecture - Zinsstruktur- und Kreditrisikomodelle (Interest Rate and Credit Risk)

2020 (winter)

• Lecture - Stochastische Prozesse (Stochastic Processes)

• Lecture - Finance C (with Marc-Oliver Rieger)

• Seminar - Quantitative Risk Management

2020 (summer)

• Lecture - Stochastische Analysis und Mathematical Finance (Stochastic Analysis and Mathematical Finance)

• Lecture - Zinsstruktur- und Kreditrisikomodelle (Interest Rate and Credit Risk)

2019 (winter)

• Lecture - Stochastische Prozesse (Stochastic Processes)

• Lecture - Finance C (with Marc-Oliver Rieger)

• Seminar - Mathematical Finance

2019 (summer)

• Lecture - Stochastische Analysis und Mathematical Finance (Stochastic Analysis and Mathematical Finance)

• Lecture - Stochastische Kontrolltheorie (Stochastic Control Theory)

2017 (winter)

• Lecture - Wahrscheinlichkeitsrechnung (Elementary Probability)

• Lecture - Zinsstruktur- und Kreditrisikomodelle (Interest Rate and Credit Risk)

• Lecture - Finance C (with Marc-Oliver Rieger)

• Seminar - Information Theory

2017 (summer)

• Lecture - Stochastische Analysis und Mathematical Finance (Stochastic Analysis and Mathematical Finance)

• Lecture - Elemente der Analysis II (Mathematics for Economists II)

• Seminar - Lévy Processes (by Christoph Belak)

2016 (winter)

• Lecture - Stochastische Prozesse (Stochastic Processes)

• Lecture - Finance C (with Marc-Oliver Rieger)

• Lecture - Elemente der Analysis I (Mathematics for Economists I)

2016 (summer)

• Lecture - Stochastische Analysis und Mathematical Finance (Stochastic Analysis and Mathematical Finance)

• Lecture - Zinsstruktur- und Kreditrisikomodelle (Interest Rate and Credit Risk)

• Seminar - Exotische Optionen (Exotic Options)

2015 (winter)

• Lecture - Stochastische Prozesse (Stochastic Processes)

• Lecture - Portfolio-Theorie (Portfolio Theory)

• Seminar - Brown'sche Bewegung (Brownian Motion)

2015 (summer)

• Lecture - Probability Theory

• Lecture - Grundlagen der Finanzmathematik (Foundations of Mathematical Finance)

• Seminar - Monte-Carlo Algorithmen

2014 (winter)

• Lecture - Interest Rate Theory (Financial Mathematics II, with Christoph Belak)

• Seminar - How to Gamble If You Must (with Jörn Saß)

• Reading Course - Stochastic Filtering (with Jörn Saß)

• Seminar - Mathematical Finance PhD Seminar

2014 (summer)

• Lecture - Statistik II für Wirtschaftswissenschaftler (Statistical Methods for Economists)

• Lecture - Grundlagen der Finanzmathematik (Foundations of Mathematical Finance)

• Reading Course - Nonlinear Expectations (with Christoph Belak and Jörn Saß)

• Seminar - Brownian Motion (with Jörn Saß)

• BSc Project (Fachpraktikum) - Discrete-Time Recursive Utility

• BSc Project (Fachpraktikum) - Bootstrapping and Yield Curve Construction

• Seminar - Mathematical Finance PhD Seminar

2013 (winter)

• Lecture - Probability Theory

• Reading Course - Malliavin Calculus

• Seminar - Mathematical Finance PhD Seminar

2013 (summer)

• Lecture - Maß und Integration (Measure and Integration)

• Lecture - Grundlagen der Finanzmathematik (Foundations of Mathematical Finance)

• Reading Course - Counterparty Credit Risk, Collateral and Funding

• Seminar - Mathematical Finance PhD Seminar

2012 (winter)

• Lecture - Interest Rate Theory (Financial Mathematics II)

• Seminar - Quantitative Risk Management

• Reading Course - Point Processes and Intensities

2012 (summer)

• Lecture - Stochastic Processes and Financial Markets (Financial Mathematics I)

• Seminar - Continuous-Time Contract Theory (with Sascha Desmettre)

• BSc Project (Fachpraktikum) - Nonstandard Risk Preferences

• Reading Course - Foundations of Stochastic Analysis

2011 (winter)

• Lecture - The Mathematics of Arbitrage

• Seminar - Classical Papers in Mathematical Economics and Finance (with Jörn Saß)

2011 (summer)

• Lecture - Stochastic Control and Financial Applications

• Seminar - Portfolio Optimization

2010 (winter)

• Lecture - Interest Rate Theory (Financial Mathematics II)

• Lecture - Probability Theory (for Prof. Dr. Heinrich von Weizsäcker)

• Seminar - Credit Risk