040648 FK KFK FD: Financial Services (Applications) (2013W)

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:
http://bwl.univie.ac.at/finpum/teachings/

Moodle

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).

Registration is open from Fr 06.09.2013 09:00 to Fr 20.09.2013 14:00
Registration is open from We 25.09.2013 09:00 to Th 26.09.2013 17:00
Deregistration possible until Mo 14.10.2013 23:59

Details

max. 50 participants

Language: German

Lecturers

Classes (iCal) - next class is marked with N

Monday 07.10. 10:00 - 14:00 PC-Seminarraum 2 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Monday 21.10. 10:00 - 14:00 PC-Seminarraum 2 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Monday 28.10. 10:00 - 14:00 PC-Seminarraum 2 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Monday 04.11. 10:00 - 14:00 PC-Seminarraum 2 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Monday 11.11. 10:00 - 14:00 PC-Seminarraum 2 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Monday 18.11. 10:00 - 14:00 PC-Seminarraum 2 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Monday 25.11. 10:00 - 14:00 PC-Seminarraum 2 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Monday 02.12. 10:00 - 14:00 PC-Seminarraum 2 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Monday 09.12. 10:00 - 14:00 PC-Seminarraum 2 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Monday 16.12. 10:00 - 14:00 PC-Seminarraum 2 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Monday 13.01. 10:00 - 14:00 PC-Seminarraum 2 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Monday 20.01. 10:00 - 14:00 PC-Seminarraum 2 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Monday 27.01. 10:00 - 14:00 PC-Seminarraum 2 Oskar-Morgenstern-Platz 1 1.Untergeschoß

Information

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