Mathematical Finance 2017
Find here the material of the first three weeks of the lecture course. A fourth draft of the lecture notes from 2013 together with the current exam questions can be found here. An ipython notebook on Markowitz optimization is also provided. If the downloader does not work, which happens from time to time, use the Data file here. Check out the effectiveness of optimization!
Please notice that parts of the lecture will be considerably different from these notes (sometimes simpler), also the following articles will play a major role in the exposition:
- [K09] Kostas Kardaras, Generalized Supermartingale deflators under limited information.
- [T15] Josef Teichmann, Talk on FTAP for large financial markets, Pittsburgh, 2015.
- [T14] Josef Teichmann, Talk on FTAP, St Petersburg, 2014.
- [K97] Youri Kabanov, On the FTAP of Kreps-Delbaen-Schachermayer.
- [CS84] Christophe Stricker, Caracterisation des semimartingales, Seminaire de probabilites de Strasbourg, Volume 18 (1984) p. 148-153 .
- [63] Christa Cuchiero, Irene Klein, Josef Teichmann: A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting , arXiv:1705.02087, submitted, 2017.
- [56] Christa Cuchiero, Irene Klein, Josef Teichmann: A new perspective on the fundamental theorem of asset pricing for large financial markets, arXiv/1412.7562, TVP (Theory of Probability and Its Applications) 60 (4), 561-579, 2016.
- [52] Christa Cuchiero, Josef Teichmann: A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing, arXiv/1406.5414, Finance and Stochastics, 19 (2015), volume 4.