Humboldt-Universität zu Berlin - Mathematisch-Naturwissenschaftliche Fakultät - Dirk Becherer

Useful links

• Vorlesungsverzeichnis
• BMS special courses
• Berlin Oxford IRTG 2544 Stochastic Analysis
• Research seminars
• General information sheet (in German) for students interested in a specialization in stochastics pdf

Current courses

For announcements of examinations and special circumstances, please check the webpages of the examination office (Prüfungsbüro)! We should be back to normal - but please consult the current general advice on pandemic measures by the university, by our faculty and by the Prüfungsbüro/institute for your study implications.

• Winter term 2025 (teaching starts Tue in 1st week of term, classes from 2nd week onwards):
  Financial Mathematics I, 4+2 course in English discrete time theory for math. finance, building on martingale theory as taught in module Stochastics II. First literature (free online access within HU net, indicative only, more literature given in lectures): 1) H.Foellmer/A.Schied, Stochastic Finance, https://doi.org/10.1515/9783110463453 ; 2) Achim Klenke, Probability Theory (covers all background required from Stochastics II) https://doi.org/10.1007/978-3-030-56402-5 ; 3) Mark H.A. Davis, Math. Finance a very short introduction (for motivation) https://doi.org/10.1093/actrade/9780198787945.001.0001
  Check and register on AGNES or in first week lectures with me, later check for further info on Moodle (access given to audience in lecture, same for literature).
• Advanced students are always welcome to attend research seminars of the stochastics group and I further recommend also the BMS Fridays from BMS/Math+.

Former courses

• Humboldt Universität zu Berlin
  
  • Sommersemester 2025 (lectures start 1st week of term, classes from 2nd week onwards):
    Financial Mathematics II, 4+2 course, continuous-time theory for math. finance, incl. required stochastic differential calculus for it: Ito-formula "without tears" a la Föllmer, stochastic integration and diff.eqn, no-arbitrage and risk-neutral martingale (pricing) measures, hedging and pricing of contingent claims in multi-dimensional diffusion models, term structure models for interest rates (short rate, HJM, and Libor market-model), portfolio optimization... 
    Selective Topics: Mean-Field-Games and -Control, 2+1: optimal dynamic decision making under uncertainty (Markov decision processes) for single-agent problems; autonomous multi-agents (think applications in econ., engineering or biology: interacting automatic systems, robots, fsd-taxis, drones,...or flocking of birds, crowd control) with strategic interaction amongst them in Mean-Field-Games (Nash-equilibria within large population of only selfish non-cooperative agents) or Mean-Field-Control (social planer with social plan for common good, cooporating agents, robots...). 
  • Sommersemester 2024: Mathematics for Machine Learning, Reinforcement learning and Mean Field Games, 4+2 course, recommend for this is Stochastics-2, recommended practical computer-lab sessions in separate parallel module  Projektpraktikum-2/Lab. (V.Nr. 33144462) (requires separate regitration). For first ideas, check the info sheet.
    For current infos check AGNES and Moodle.Ongoing info on courses tba there, moodle access to be given in first lectures: You need to register by Agnes. "Nebenhörer/visiting students" can contact me in first lectures. Questions about organization and content are welcome but shall be discussed for all students in the first lectures, please.
  • Wintersemester 2023/24: Analysis-III* (Mono,IMP). For current info check AGNES and Moodle.
  • Sommersemester 2023: Stochastic Analysis (BMS course Stochastic Processes II) in English, Master Mathematics. ***Info sheet. Stochastik Seminar für Mono-Bachelor/or Master Mathematik (topics in Stochastic Analysis, attendance of the lecture in parallel is possible and strongly recommended).***Info sheet ).
  • Wintersemester 2022/23: Stochastics-II (info sheet) in English, for Mono-Bachelor/Master Mathematics. Stochastik (info sheet) für Kombi-Bachelor Mathematik mit Lehramtsoption.
  • Sommersemester 2022: Stochastik-1(info sheet); to those not familiar with general measure theory as e.g. from module Analysis-3, I recommend the "Masstheorie Blockkurs" by Martin Wahl.
    Mathematics for Machine and Reinforcement Learning and Markov Decision Processes M27 (info sheet). For practice/lab content, I recommend the "Projektübung Stochastik", M26, by Martha Nansubuga (own registration)
  • Wintersemester 2021/22:  Analysis-III* (BSc mono, info sheet),  Advanced topics in Stochastic Analysis (M27, info sheet, new room R.1.115 for lecture+class!, class now Mo.13-15)  and the corresponding seminar Selected Topics in Stoch. Analysis & Applications (first meeting on time schedule and topics at 24.Oct.).
  • Sommersemester 2021:Stochastik-1 (moodle, taken-over from Dr.Jana Bielagk, after her temp. leave), Stochastic Analysis M24 (BMS course Stochastic Processes II, information sheet) and
    Mathematics for Machine Learning M39 (information sheet).
  • Stochastic Finance II,  Sommersemester 2020. Course information sheet.
    Seminar on Stochastic Analysis (cancelled for 2020, postponed to 2021)
  • Stochastics II (BMS basic course Stochastic Processes I), Wintersemester 2019/20.
    And Advanced Topics in Stochastic Analysis: Propagation of Chaos and Mean-Field Interactions (information sheet). Seminar Selected Topics in Stochastic Analysis, Wintersemester 2019/20: further time schedule and topics at the first meeting on Oct.20th, see Agnes. 
  • Stochastics I, Sommersemester 2019, see Vorlesungsverzeichnis (Agnes) and Moodle for informations (including information sheet).
    And Stochastic Analysis (Stochastic Processes II), Sommersemester 19, see Moodle for informations (information sheet, course outline to be updated).
  • Analysis III*, Wintersemester 2018/19, see Vorlesungsverzeichnis (Agnes) and Moodle for informations (including information sheet).
  • Stochastic Analysis (Stochastic Processes II), Sommersemester 18, see Vorlesungsverzeichnis (Agnes).
  • Stochastics II (Stochastic Processes I), Wintersemester 2017/18. See course website and Vorlesungsverzeichnis (Agnes).
    And Stochastik Seminar, see information sheet (weitere Bachelorseminare hier)  
  • Stochastics I, Sommersemester 17. See course website and Vorlesungsverzeichnis.
    And Stochastic Analysis (Stochastic Processes II), Sommersemester 17, see course website and Vorlesungsverzeichnis
  • Stochastic Finance I, Wintersemester 2016/17, See course website and Vorlesungsverzeichnis
  • Stochastics 2, Wintersemester 2015/16, see information sheet pdf, and Vorlesungsverzeichnis.
  • Sommersemester 2015: Stochastic Finance II (Finanzmathematik II), see Vorlesungsverzeichnis.
  • Wintersemester 2014/15: Analysis 3, see Vorlesungsverzeichnis,
    and Stochastik Praktikum, see the course website and Vorlesungsverzeichnis.
  • Sommersemester 2014: Stochastics 1. Information sheet pdf and Vorlesungsverzeichnis.
    And Selected Topics in Stochastic Analysis: Backward SDEs and Stochastic Analysis with Jumps. Information sheet  pdf and Vorlesungsverzeichnis
  • Wintersemester 2013/14: Mathematik für Informatiker. See information sheet pdf, and Vorlesungsverzeichnis. And Stochastic Finance I. Information sheet  pdf and Vorlesungsverzeichnis
• Imperial College London, MSc Mathematical Finance postgraduate program
  • Lecture MSF3, Stochastic Processes, Fall 2007, Syllabus, course material
  • Lecture MSF7, Optimal Investment and Incomplete Markets, Summer 2007
• Imperial College London, mathematics undergraduate program
  • Lecture M3/4S15, Monte Carlo Methods in Financial Engineering, Fall 2007
• Imperial College Business School, postgraduate program
  • Lecture, Mathematical Techniques for Finance, Fall 2007, course material