0717 Quantitative Methods
Univ.Prof. Dr. Rüdiger Frey
Contact details
Weekly hours
Language of instruction
09/06/16 to 09/30/16
Registration via LPIS
Notes to the course
Day Date Time Room
Thursday 10/20/16 09:00 AM - 11:30 AM D4.0.019
Thursday 10/27/16 09:00 AM - 11:30 AM D4.0.019
Thursday 11/10/16 09:00 AM - 11:30 AM D4.0.019
Thursday 11/17/16 09:00 AM - 11:30 AM D4.0.019
Thursday 11/24/16 09:00 AM - 11:30 AM D4.0.019
Thursday 12/01/16 09:00 AM - 11:30 AM D4.0.019
Thursday 12/15/16 09:00 AM - 11:30 AM D4.0.019
Thursday 01/12/17 09:00 AM - 11:30 AM D4.0.019


The course gives an introduction to themathematical techniques needed for quantitative finance and derivative asset analysis.

The course consists of two parts.

Part 1: Mathematical Finance in Discrete Time: The model, selffinancing strategies and arbitrage, martingales, fundamental theorem of asset prices, binomial model and convergence to Black Scholes, American optionsand optimal stopping,. This part will also contain a revision of the necessary tools from probability theory such as
conditional expectations.

Part 2: Basics of Continuous-Time Finance: Stochastic processes and stopping times, Brownian motion, quadratic variation, pathwise Ito calculus, Black Scholes model, PDE approach to derivative pricing, HJB equation and stochastic control.

Learning outcomes

After the lecture the participants will be familiar with basic concepts in continuous time finance. In particular, they will have the necessary skills to read scientific literature on continuous time models in finance and economics 

Teaching/learning method(s)

Lecture and homework assignments


Homework assignments (25%) course participation(5%)  and an oral exam at the end (70%)

Recommended previous knowledge and skills

Probability theory equivalent to the lecture Probability in the Master Quantitative Finance at WU

Availability of lecturer(s)

via email, ruediger.frey[@]
Last edited: 2016-09-07