Universität Wien FIND

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040648 FK KFK FD: Financial Services (Applications) (2012W)

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

Beginn: Montag, 3. Dezember 2012, 11:00 - 14:00 Uhr, EDV Labor 3, BWZ, 1. OG

Alle Infos zu unseren Lehrveranstaltungen finden Sie hier:


Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first serve).


max. 50 participants
Language: German


Classes (iCal) - next class is marked with N

Monday 03.12. 11:00 - 14:00 EDV-Labor 3
Wednesday 05.12. 09:00 - 12:00 EDV-Labor 6
Monday 10.12. 11:00 - 14:00 EDV-Labor 3
Wednesday 12.12. 09:00 - 12:00 EDV-Labor 3
Monday 07.01. 11:00 - 14:00 EDV-Labor 3
Wednesday 09.01. 09:00 - 12:00 EDV-Labor 3
Monday 14.01. 11:00 - 14:00 EDV-Labor 3
Wednesday 16.01. 09:00 - 12:00 EDV-Labor 3
Thursday 31.01. 12:00 - 14:00 EDV-Labor 6


Aims, contents and method of the course

Introduction to programming, Random Number and Random Variables Generation, Martingale measure, Arbitrage free pricing, Stopping times, Brownian Motion, Geometric Brownian Motion, Short Rate Models, Forward Rate Models, Equity Models, Calibration of Models, Optimization Methods, Greeks (finance), Derivatives Pricing

Assessment and permitted materials

Homework, Presentation, Project, Final exam

Minimum requirements and assessment criteria

Understanding of derivatives pricing
Implementation by programming

Examination topics

Lecture, Experiential learning, Discussion, Problem Sets, Reciprocal teaching, Study group

Reading list

Stefan Ebenfeld: Grundlagen der Finanzmathematik
Paul Glasserman: Monte Carlo Methods in Financial Engineering
Steve E. Shreve: Stochastic Calculus for Finance I & II
Course materials

Association in the course directory

Last modified: Mo 07.09.2020 15:29