Understand financial derivative and their use, study mathematical models for financial markets, approximate stochastic differential equations numerically
Ito-formula, Black-scholes model and its extensions, binomial methods, Monte-Carlo methods, finite-difference methods, American options as free boundary problems, applications: call options on Bitcoin, Asian options, swing options in electricity markets
Lecture notes will be available from September 2018 on the homepage
http://www.asc.tuwien.ac.at/~juengel
Analysis, ordinary differential equations, basics of probability theory. Stochastic analysis and partial differential equations are not assumed
