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

040723 UK Financial and Insurance Mathematics (2017W)

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

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. 40 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

  • Tuesday 03.10. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 10.10. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 17.10. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 24.10. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 31.10. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 07.11. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 14.11. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 21.11. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 28.11. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 05.12. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 12.12. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 09.01. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 16.01. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 23.01. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 30.01. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock

Information

Aims, contents and method of the course

Ideas of mathematical finance for a simple example;
General models in continuous time: Bachelier, Black-Scholes, more recent models

Assessment and permitted materials

2 Tests, Exercises

Minimum requirements and assessment criteria

Points available: see homepage of Irene Klein. Minimum: 17 points

Examination topics

Everything that is theme of lecture part and exercises part.

Reading list

I. Karatzas, S. Shreve: Brownian Motion and Stochastic Calculus;
M. Musiela, M. Rutkowski: Martingale Methods in Financial Modelling
A. Mc Neil, R. Frey, P. Embrechts: Quantitative Risk Management

Association in the course directory

Last modified: Mo 07.09.2020 15:29