Arbeitsgruppe Finanzmathematik / Workgroup Financial Mathematics

Aktuelles / News

 

Monograph  "Mathematical Finance"

Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation principles, portfolio choice, and term structure modelling. It bridges the gap between introductory texts and the advanced literature in the field.

Most textbooks on the subject are limited to diffusion-type models which cannot easily account for sudden price movements. Such abrupt changes, however, can often be observed in real markets. At the same time, purely discontinuous processes lead to a much wider variety of flexible and tractable models. This explains why processes with jumps have become an established tool in the statistics and mathematics of finance.

Graduate students, researchers as well as practitioners will benefit from this monograph.

For more information see https://www.springer.com/gp/book/9783030261054#aboutBook.

        

Title page

 

 


 

 

Im Juni 2018 startet eine neue Vortragsreihe zum Thema Mathematik im Beruf.

Vortragreihe: Mathematik im Beruf

 


 

 

 

Proceedings  "Advanced Modelling in Mathematical Finance"

This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday,  from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by  several  invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students. Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in thematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.

For more information see http://link.springer.com/book/10.1007/978-3-319-45875-5.

        

Zwei Studenten und eine Tasse Kaffee

 

 


 

 

AMMF

 

The goal of this workshop was to discuss current trends and models in financial mathematics,
including but not limited to processes with jumps, derivatives, term-structure modelling,
and computational aspects.