Introduction to mathematical finance in continuous time. Risk management of financial assets.

Black-Scholes-Samuelson model (types of trading strategies, martingale measures, Black-Scholes formula, replicating strategies, Black-Scholes PDGL, call-put parity, Black-Scholes sensitivities, time-dependent coefficients), packets of European call and put options, forward-start options, chooser options, compound options, stocks with dividends, Bachelier model, forward and futures contracts, Black model, Black formulas for options on futures, cross-currency market model, domestic and foreign martingale measure, currency forward contract and options, European options on foreign equity, quanto forward contracts, foreign market futures contracts, American options in the Black-Scholes-Samuelson model, trading and consumption strategies, Doob-Meyer decomposition, Snell envelope, optimal stopping times, perpetual American option, exotic options (digital options, barrier options, lookback options, Asian options, basket options, quantil options), outlook (e.g. multi-dimensional Black-Scholes-Samuelson model, stochastic volatility, models with jumps)

written and oral exam The written exam can be taken at one of three dates during the semester. Dates and details can be found here: http://www.fam.tuwien.ac.at/lehre/pr/index.php

• Marek Musiela, Marek Rutkowski: Martingale Methods in Financial Modelling. Springer, 2nd ed., 2005, ISBN 3-54020-966-2.
• Monique Jeanblanc-Picqué, Marc Yor, Mark Chesney: Mathematical Methods for Financial Markets. Springer, 2009, ISBN 978-1-85233-376-8, DOI 10.1007/978-1-84628-737-4.
• Steven E. Shreve: Stochastic Calculus for Finance II. Continuous-Time Models. Springer, 2004, ISBN 0-38740-101-6.
• Ioannis Karatzas, Steven E. Shreve: Methods of Mathematical Finance. Springer, corr. 2. pr., 1999, ISBN 0-387-9839-2.
• Damien Lamberton, Bernard Lapeyre: Introduction to Stochastic Calculus Applied to Finance. Chapman & Hall, 2nd ed., 2008, ISBN 978-1-58488-626-6.
• Tomas Björk: Arbitrage Theory in Continuous Time. Oxford University Press, 2nd ed., 2004, ISBN 978-0-19927-126-9.
• Martin Baxter, Andrew Rennie: Financial Calculus. Cambridge University Press, 1998, ISBN 0-52155-289-3.

Foundations

• Hans Föllmer, Alexander Schied: Stochastic Finance. An Introduction in Discrete Time. De Gruyter, 3rd ed., 2011, ISBN: 978-3110218046.
• Bernt K. Øksendal: Stochastic Differential Equations, an Introduction with Applications. Springer, 6th ed., 2007, ISBN 978-3-54004-758-2.
• Daniel Revuz, Marc Yor: Continuous Martingales and Brownian Motion. Springer, 3. ed., corr. 3. print., 2005, ISBN 3-54064-325-7.
• Olav Kallenberg: Foundations of Modern Probability. Springer, 2nd ed., 2002, ISBN 0-38795-313-2.
• Ioannis Karatzas, Steven E. Shreve: Brownian Motion and Stochastic Calculus. Springer, 2. ed., corr. 6. print., 2000, ISBN 0-38797-655-8.