Universität Wien
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250002 VO Financial mathematics (2011S)

5.00 ECTS (3.00 SWS), SPL 25 - Mathematik

Details

Language: English

Examination dates

Lecturers

Classes (iCal) - next class is marked with N

  • Wednesday 09.03. 15:00 - 17:00 Seminarraum
  • Thursday 10.03. 15:00 - 16:00 Seminarraum
  • Wednesday 16.03. 15:00 - 17:00 Seminarraum
  • Thursday 17.03. 15:00 - 16:00 Seminarraum
  • Wednesday 23.03. 15:00 - 17:00 Seminarraum
  • Thursday 24.03. 15:00 - 16:00 Seminarraum
  • Wednesday 30.03. 15:00 - 17:00 Seminarraum
  • Thursday 31.03. 15:00 - 16:00 Seminarraum
  • Wednesday 06.04. 15:00 - 17:00 Seminarraum
  • Thursday 07.04. 15:00 - 16:00 Seminarraum
  • Wednesday 13.04. 15:00 - 17:00 Seminarraum
  • Thursday 14.04. 15:00 - 16:00 Seminarraum
  • Wednesday 04.05. 15:00 - 17:00 Seminarraum
  • Thursday 05.05. 15:00 - 16:00 Seminarraum
  • Wednesday 11.05. 15:00 - 17:00 Seminarraum
  • Thursday 12.05. 15:00 - 16:00 Seminarraum
  • Wednesday 18.05. 15:00 - 17:00 Seminarraum
  • Thursday 19.05. 15:00 - 16:00 Seminarraum
  • Wednesday 25.05. 15:00 - 17:00 Seminarraum
  • Thursday 26.05. 15:00 - 16:00 Seminarraum
  • Wednesday 01.06. 15:00 - 17:00 Seminarraum
  • Wednesday 08.06. 15:00 - 17:00 Seminarraum
  • Thursday 09.06. 15:00 - 16:00 Seminarraum
  • Wednesday 15.06. 15:00 - 17:00 Seminarraum
  • Thursday 16.06. 15:00 - 16:00 Seminarraum
  • Wednesday 22.06. 15:00 - 17:00 Seminarraum
  • Wednesday 29.06. 15:00 - 17:00 Seminarraum
  • Thursday 30.06. 15:00 - 16:00 Seminarraum

Information

Aims, contents and method of the course

The lecture on Financial Mathematics: Continuous-Time Models, gives an introduction to modern tools in financial mathematics. Based on the introductory lecture on probability theory, namely the lecture "Wahrscheinlichkeitstheorie und Statistik", the Brownian motion as the essential stochastic process for continuous modeling of financial assets, is introduced. Basic knowledge on stochastic calculus, such that the stochastic integral with respect to the Brownian motion and Itô's formula, will be provided as well. The famous Black-Scholes model for the stock price will be introduced and the Black-Scholes formula for option prices will be discussed in detail. We will also discuss various sensitivity parameters of the prices, namely the so-called Greeks. Further we will touch on different aspects of asset pricing, such that risk-neutral measures, the fundamental theorem of option prices, a connection to partial differential equations, or exotic options.

Assessment and permitted materials

Minimum requirements and assessment criteria

Examination topics

Reading list

Association in the course directory

MSTV, MAMV

Last modified: Mo 07.09.2020 15:40