Physics of Financial Markets – Overview

In this seminar we study the statistical properties of financial markets with focus on applications towards risk control and derivative pricing.

There are no prerequisites; however, we will encounter mathematical methods from the field of stochastic dynamics. Those methods are taught in the lecture Stochastic Dynamics of Particles and Fields, which also takes place in the upcoming semester. So, for a deeper understanding you might consider visiting this lecture.

The event will not be organized as a classic seminar but in the style of a journal club. This means that there will be no presentations, and instead, we discuss a topic at each meeting for which everyone should prepare superficially. Each discussion will be led by one of the participants, who should prepare in more depth.

If you have questions, please write an email to Florian Raßhofer or Henrik Weyer.

Organisation and Application

• Until further notice, we will meet in person.
• Time and Place: Tuesday 16.00 c.t. - 18.00 in A348 (Room-Finder), Theresienstraße 37.
• The first meeting will be on Tuesday, 25.10.2022.
• Credits: 3 ECTS (Can be credited as a seminar).
• If you want to participate, please send your CV and a one-page letter of motivation to Florian Raßhofer (deadline: 07.10.2022 the deadline has been extended to 21.10.2022).

Literature

Our main source is the book Theory of financial risk and derivative pricing by J.P. Bouchaud (available in the OPAC). Another source we will use is the book Options, Futures, and Other Derivatives by John C. Hull.