Universität Wien
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250110 VO Mathematical Finance (continuous time) (2018S)

5.00 ECTS (3.00 SWS), SPL 25 - Mathematik

Details

max. 25 participants
Language: English

Examination dates

Lecturers

Classes (iCal) - next class is marked with N

  • Tuesday 06.03. 15:00 - 16:30 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 08.03. 14:00 - 14:45 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 13.03. 15:00 - 16:30 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 20.03. 15:00 - 16:30 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 22.03. 14:00 - 14:45 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 10.04. 15:00 - 16:30 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 12.04. 14:00 - 14:45 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 17.04. 15:00 - 16:30 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 19.04. 14:00 - 14:45 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 24.04. 15:00 - 16:30 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 26.04. 14:00 - 14:45 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 03.05. 14:00 - 14:45 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 08.05. 15:00 - 16:30 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 15.05. 15:00 - 16:30 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 17.05. 14:00 - 14:45 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 24.05. 14:00 - 14:45 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 29.05. 15:00 - 16:30 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 05.06. 15:00 - 16:30 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 07.06. 14:00 - 14:45 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 12.06. 15:00 - 16:30 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 14.06. 14:00 - 14:45 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 19.06. 15:00 - 16:30 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 21.06. 14:00 - 14:45 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 26.06. 15:00 - 16:30 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 28.06. 14:00 - 14:45 Seminarraum 9 Oskar-Morgenstern-Platz 1 2.Stock

Information

Aims, contents and method of the course

Based on an introduction on Brownian Motion and stochastic Analysis we develop the fundamental Tools of mathematical finance. We amply discuss the Black-Scholes formula for the pricing and hedging of Options as well as several ramificiations

Assessment and permitted materials

Oral examination

Minimum requirements and assessment criteria

Basic knowledge of some probability theory and stochastics

Examination topics

The relevant chapters of the book of Steven E. Shreve

Reading list

Stochastic Calculus for Finance II, Steven E. Shreve

Association in the course directory

MSTV

Last modified: Mo 07.09.2020 15:40