Liebe Family,

my lecture "Ausgewaehlte Kapitel der stoch FM" (wednesdays 9:45 - 11:15) is adressed to PhD students in Math Fin and related areas and might also be of interest for postdocs etc.

The first lecture will take place on

wednesday, 11 Oct.

I have not made up my mind yet what I am going to teach and I see 3 possibilities.

1. Recent papers (like the enclosed note on affine processes by Jan Kallsen) on topics of interest (risk measures, transaction costs, utility maximisation etc). In this case I would spend typically 2 - 3 lectures on one paper and then take the next one.

2. Selected chapters of Revuz/Yor

3. Selected chapters of Bertoin (Levy processes).

Maybe we can discuss on wednesday over some sushis which of these plans is most popular among you.

Regards from Walter

Attachment note:

Jan Kallsen: A didactic note on affine stochastic volatility models. http://pcstatistik15.ma.tum.de/kallsen/timechange3.pdf