SS17 Seminar: "Rough Analysis and Quantitative Finance"   Thursdays 10:15 - 11:45,   MA 742

We will study a number of papers on stochastic analysis and/or quantitative finance. Students need a working knowledge of stochastic analysis, which they can acquire by attending the first weeks of "Finanzmathematik II" (SS17). Several topics will be presented at the beginning of the semester, the part on quantitative finance is co-supervised with C. Bayer (WIAS).

Please indicate up to 3 topics as comment in the above by May-11 latest.

(Include your name, email and wish-talk-date!)

We will email out your assigned topic on May-12 (or soon afterwards).  

Summarize your topic in approximate 10 pages (english, latex)  and email to me

3 days before your talk!

Presentations (40 min, slides):    Thu, Jun-29 10-12 (3 talks)

Mo, Jul-3, 8:30 - 12:00 (5 talks)

Mo, Jul-10, 8:30 - 12:00 (5 talks)


WS 15/16:  Seminar Stochastic Analysis and Quantitative Finance

WS 15/16:  Oberseminar Rough Paths and related topics


SS 15: All my teaching this spring

Office hours in SS 15: arrange by email only, or catch me after class on Mo/Fr

October 14: Lectures at IHP #1 #2 

SS 14: Oberseminar on Rough Paths and related topics

WS 13/14:

I will teach “Regularity Structures”, a new theory due to M. Hairer.  

No class on Thursday 07.10 - instead I strongly recommend coming to

18 min walk from Potsdam Hbf,

SS 2013:

Student seminars:

 “Applied Probability and Financial Mathematics” and ”Further Topics in Finance

If interested in either seminar, fill out the form below and email to Frau Downes,


Seminar Form

A list of possible topics is found here