0449 Y2E Continuous Time Finance 2
Univ.Prof. Dr. Rüdiger Frey
Contact details
Weekly hours
Language of instruction
09/01/22 to 09/23/22
Registration via LPIS
Notes to the course
Subject(s) Master Programs
Day Date Time Room
Tuesday 11/22/22 02:00 PM - 05:00 PM EA.5.034
Monday 11/28/22 02:00 PM - 05:00 PM D4.0.019
Monday 12/05/22 02:00 PM - 05:00 PM D4.0.019
Monday 12/12/22 02:00 PM - 05:00 PM D4.0.039
Monday 12/19/22 02:00 PM - 05:00 PM D4.0.019
Monday 01/09/23 02:00 PM - 05:00 PM D4.0.019
Monday 01/16/23 09:00 AM - 12:30 PM D4.0.133
Monday 01/23/23 02:00 PM - 04:00 PM TC.5.15

In this lecture the students will deepen their understanding of various aspects of continuous-time models in financial mathematics. In the first part of the lecture we will take a deeper look at the underlying tools from stochastic calculus. In particular we will discuss stochastic integration  and the Girsanov theorem.  These concepts will then be applied to study derivative asset analysis in generalized Black-Scholes models. In the final  part of the lecture we will give an introduction to term-structure modelling and to stochastic optimization.

Learning outcomes

This course deepens the understanding of continuous-time finance and it  covers a number of advanced topics of Continuous Time Finance.

The aim of this course is to:

  • obtain a basic understanding of the main topics, such as stochastic calculus for Brownian motion, financial mathematics in continuous time and applications
  • understand and describe the properties of competing term-structure models, change of numéraire techniques and basic stochastic control.


After completing this course the student will also:


  • have deepened his/her ability for teamwork
  • be able to formulate essential problems of CTF 2 and propose possible solutions in a precise way (that is in a mathematical rigorous way. This skill is different from a purely intuitive understanding of the topics of this course).
Attendance requirements

Full attendance is compulsory. This means that students should attend at least 80% of all lectures, at most one lecture can be missed.

Teaching/learning method(s)

This course is taught as a lecture accompanied by homework assignments (worked out in a team of 2-3 people and shortly discussed/presented in the lecture). 
  • 50% final  exam
  • 35% completion of work sheets
  • 15% presentation

Passing the  final examination is necessary to pass the course.

Prerequisites for participation and waiting lists
Fulfillment of the Specific Requirements for Admission to Courses and Examinations defined in the curriculum

Please log in with your WU account to use all functionalities of read!t. For off-campus access to our licensed electronic resources, remember to activate your VPN connection connection. In case you encounter any technical problems or have questions regarding read!t, please feel free to contact the library at

Recommended previous knowledge and skills
Successful completion of the class Continuous Time Finance 1
Availability of lecturer(s)
Last edited: 2022-11-21