040648 FK KFK FD: Financial Services (Applications) (2014W)
Continuous assessment of course work
Labels
Beginn: Dienstag, 28. Oktober 2014, 16:00 - 19:00 Uhr, PC Seminarraum 1, 1. Untergeschoß.Alle Infos zu unseren Lehrveranstaltungen finden Sie hier:
http://bwl.univie.ac.at/finpum/teachings/
http://bwl.univie.ac.at/finpum/teachings/
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 Mo 15.09.2014 09:00 to We 24.09.2014 14:00
- Deregistration possible until Tu 14.10.2014 23:59
Details
max. 50 participants
Language: German
Lecturers
Classes (iCal) - next class is marked with N
Beginn und Vorbesprechung am Dienstag, den 28. Oktober 2014, 16:00 - 19:00 Uhr, PC-Seminarraum 1, 1. Untergeschoß
- Tuesday 28.10. 16:00 - 19:00 PC-Seminarraum 1 Oskar-Morgenstern-Platz 1 1.Untergeschoß
- Thursday 30.10. 16:00 - 19:00 PC-Seminarraum 1 Oskar-Morgenstern-Platz 1 1.Untergeschoß
- Tuesday 04.11. 16:00 - 19:00 PC-Seminarraum 1 Oskar-Morgenstern-Platz 1 1.Untergeschoß
- Wednesday 19.11. 17:00 - 19:00 PC-Seminarraum 1 Oskar-Morgenstern-Platz 1 1.Untergeschoß
- Wednesday 26.11. 17:00 - 19:00 PC-Seminarraum 1 Oskar-Morgenstern-Platz 1 1.Untergeschoß
- Wednesday 03.12. 17:00 - 19:00 PC-Seminarraum 1 Oskar-Morgenstern-Platz 1 1.Untergeschoß
- Wednesday 10.12. 17:00 - 19:00 PC-Seminarraum 1 Oskar-Morgenstern-Platz 1 1.Untergeschoß
- Wednesday 17.12. 17:00 - 19:00 PC-Seminarraum 1 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
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
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