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).
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
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, http://goo.gl/maps/uySQT
“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, firstname.lastname@example.org
A list of possible topics is found here