Universität Wien
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250003 VO Stochastic financial mathematics 2 (2009S)

3.00 ECTS (2.00 SWS), SPL 25 - Mathematik

Details

Language: English

Lecturers

Classes (iCal) - next class is marked with N

  • Tuesday 03.03. 13:00 - 15:00 Seminarraum
  • Tuesday 10.03. 13:00 - 15:00 Seminarraum
  • Tuesday 17.03. 13:00 - 15:00 Seminarraum
  • Tuesday 24.03. 13:00 - 15:00 Seminarraum
  • Tuesday 31.03. 13:00 - 15:00 Seminarraum
  • Tuesday 21.04. 13:00 - 15:00 Seminarraum
  • Tuesday 28.04. 13:00 - 15:00 Seminarraum
  • Tuesday 05.05. 13:00 - 15:00 Seminarraum
  • Tuesday 12.05. 13:00 - 15:00 Seminarraum
  • Tuesday 19.05. 13:00 - 15:00 Seminarraum
  • Tuesday 26.05. 13:00 - 15:00 Seminarraum
  • Tuesday 09.06. 13:00 - 15:00 Seminarraum
  • Tuesday 16.06. 13:00 - 15:00 Seminarraum
  • Tuesday 23.06. 13:00 - 15:00 Seminarraum
  • Tuesday 30.06. 13:00 - 15:00 Seminarraum

Information

Aims, contents and method of the course

We continue with the book "Stochastic Calculus for Finance II" of St. Shreve (Chapter 5.3-10.4).

Assessment and permitted materials

oral exam.

Minimum requirements and assessment criteria

Examination topics

Reading list

S. Shreve "Stochastic Calculus for Finance II, Continuous-Time models", Springer, 2004.
B. Oksendal "Stochastic differential Equations", Springer, 2007.

Association in the course directory

MSTV

Last modified: Mo 07.09.2020 15:40