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Probability Concepts for Financial Markets

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Probability Concepts for Financial Markets

Prof. Dr. Jörn Sass. Supervision of talks: Katharina Thös, Dorothee Westphal.

  • Monday, April 3 until Friday, April 7: 8:15 - 13:15 in 48-582.
  • Friday, April 21: 8:15 - 17:00 (depending on # of participants) in 48-438.


Reports available for download now.

General Information

The course is meant to build a bridge between the basics of probability theory and discrete-time mathematical finance to continuous-time mathematical finance. It will cover the following topics:

  • Conditional expectations and financial markets
  • Stopping times and financial products
  • Change of measure and pricing
  • Brownian motion and binomial models
  • Optimal stopping and American options

The course consists of lectures, tutorials and a seminar part.


Time schedule

April 3 until April 7, each day:

  • 8:15 - 9:45 Lecture
  • 10:00 - 11:30 Self studies, solving problems
  • 11:45 - 13:15 Tutorials

April 7: Assignment of topics for the talks

April 10-20: Preparation of talks, hand in of report

April 21, 8:15 to end: Presentations


Talks and reports: Each participant has to present a small topic within the field of mathematical finance or probability which relates to the course. The topics will be assigned during the lectures. In addition each participant is required to hand in a report about her/his final presentation. The report is due on Thursday, April 20, and has to be sent by E-mail to all supervisors (Jörn Sass, Katharina Thös, Dorothee Westphal).


Lecture notes will be available for download.


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