Universität Wien
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040723 UK Financial and Insurance Mathematics (2018W)

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 09.10. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 16.10. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 23.10. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 30.10. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 06.11. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 13.11. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 20.11. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 27.11. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 04.12. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 11.12. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 08.01. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 15.01. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 22.01. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 29.01. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock

Information

Aims, contents and method of the course

Basic introduction in stochastic analysis to get an idea of the necessary tools for market models in mathematical finance. Ideas will be presented with examples of market models such as Black Scholes model, Bachelier model. In insurance mathematics Cramer Lundberg model will be sketched.

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

Assessment and permitted materials

1 Test, Homework, Presentation of Exercises on the blackboard

Minimum requirements and assessment criteria

Points available: see homepage of Irene Klein. Minimum: 18 points

Examination topics

Everything that is covered in the lecture or the exercises part of the course.

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