Universität Wien
Warning! The directory is not yet complete and will be amended until the beginning of the term.

040716 UK Introduction to Financial Mathematics (2022W)

4.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften
Continuous assessment of course work
MIXED

Moodle

Registration/Deregistration

Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).

Details

max. 70 participants
Language: German

Lecturers

Classes (iCal) - next class is marked with N

  • Thursday 06.10. 13:15 - 14:45 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Thursday 13.10. 13:15 - 14:45 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Thursday 20.10. 13:15 - 14:45 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
    Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Thursday 27.10. 13:15 - 14:45 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Thursday 03.11. 13:15 - 14:45 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Thursday 10.11. 13:15 - 14:45 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Thursday 17.11. 13:15 - 14:45 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
    Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 24.11. 13:15 - 14:45 Hörsaal 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 01.12. 13:15 - 14:45 Digital
  • Thursday 15.12. 13:15 - 14:45 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
    Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Thursday 12.01. 13:15 - 14:45 Digital
  • Thursday 19.01. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 26.01. 13:15 - 14:45 Hörsaal 3 Oskar-Morgenstern-Platz 1 Erdgeschoß
    Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 31.01. 13:15 - 14:45 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 31.01. 15:00 - 18:15 Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 28.02. 09:45 - 13:00 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock

Information

Aims, contents and method of the course

Introduction to stochastic finance; binomial model; fundamental theorem of asset pricing; Hedging; Portfolio-optimization; Risk Management; Black Scholes formula;

Assessment and permitted materials

- written exercises, some are programming tasks (via Moodle)
- presentation of the exams
- final exam: written test Tuesday 31.1., 13:15-14:45; a random sample of students have to do an oral exam based on their written answers, time: 15:30-18:15 seminar room 5 (the individual time slots will be given to the students at the end of the written test)

Minimum requirements and assessment criteria

- Presence: we recommend students to be present during all exercise classes (at least 3 out of the 4 exercise sessions). During the lectures students don't have to be present, but for the lectures that take place in the lecture rooms there will be no videos available (only slides will be available).
-50% of exercises have to be handed in
- presentation of at least one exercise
- positive final exam (written part plus oral part for a random sample of students)

The number of exercise counts for 30%, the presentation also for 30% and the final exam for 40%.

For the number of exercise, the following grading scheme applies:
[90%,100%] Sehr gut (1)
[78%,90%) Gut (2)
[63%,78%) Befriedigend (3)
[50%,63%) Genügend (4)
[0%,50%) Nicht Genügend (5)

Examination topics

Content of the course

Reading list

Lecture slides
Stochastic Calculus for Finance I (Föllmer, Schied)
The Binomial Asset Pricing Model (Shreve)

Association in the course directory

Last modified: Th 11.05.2023 11:27