Universität Wien

040716 UK Introduction to Financial Mathematics (2021W)

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


Das Tutorium findet Freitags, 9:45-11:15 Uhr statt. Der Ort wird über Moodle bekanntgegeben, die Studierenden können sich selbst unter folgendem Link im Moodlekurs einschreiben: https://moodle.univie.ac.at/course/view.php?id=280541
Bei Fragen wenden Sie sich an anja.bohatschek@univie.ac.at.
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).

Details

max. 34 participants
Language: German

Lecturers

Classes (iCal) - next class is marked with N

The course takes place online between 24.11 -15.12 via Zoom. The link can be found on Moodle.

The course consists of 2/3 lectures and 1/3 exercises. The exercise part takes place every third week starting from October 20th, 2021, i.e. October 20th, November 10th, December 1st, January 19th. There will be two groups for this, group 1 (Cuchiero) comprising family names A-Lin and Group 2 (Primavera) family names of Lind-Z.

  • Wednesday 06.10. 09:45 - 11:15 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 13.10. 09:45 - 11:15 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 20.10. 09:45 - 11:15 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
    Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 27.10. 09:45 - 11:15 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 03.11. 09:45 - 11:15 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 10.11. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
    Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 17.11. 11:30 - 13:00 Hörsaal 4 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Wednesday 24.11. 09:45 - 11:15 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 01.12. 09:45 - 11:15 Hörsaal 16 Oskar-Morgenstern-Platz 1 2.Stock
    Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 15.12. 09:45 - 11:15 Hörsaal 10 Oskar-Morgenstern-Platz 1 2.Stock
    Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 12.01. 09:45 - 11:15 Hörsaal 3 Oskar-Morgenstern-Platz 1 Erdgeschoß
    Hörsaal 9 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 19.01. 09:45 - 11:15 Hörsaal 1 Oskar-Morgenstern-Platz 1 Erdgeschoß

Information

Aims, contents and method of the course

Introduction to stochastic finance; binomial model; fundamental theorem of asset pricing; Hedging; Portfolio-optimization; Risk Management; Black Scholes formula;

Assessment and permitted materials

- written exercises, some are programming tasks (via Moodle)
- presentation of the exams
- oral exam.

Minimum requirements and assessment criteria

- obligation to be present, students can be absent three times without excuse, but have to present during the exercise classes
-50% of exercises have to be handed in
- presentation of at least one exercise
- positive oral final exam

The number of exercise counts for 30%, the presentation also for 30% and the final exam for 40%.

For the number of exercise, the following grading scheme applies:
[90%,100%] Sehr gut (1)
[78%,90%) Gut (2)
[63%,78%) Befriedigend (3)
[50%,63%) Genügend (4)
[0%,50%) Nicht Genügend (5)

Examination topics

Content of the course.

Reading list

Slides of the Lecture
Stochastic Calculus for Finance I (Föllmer, Schied)
The Binomial Asset Pricing Model (Shreve)

Association in the course directory

Last modified: Su 02.01.2022 17:25