Universität Wien
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040716 UK Introduction to Financial Mathematics (2023W)

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

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. 70 participants
Language: German

Lecturers

Classes (iCal) - next class is marked with N

The lecture on thursday Nov 16, 15:00-16:30, will be digital (for once). It will also be recorded.

  • Thursday 12.10. 15:00 - 16:30 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Friday 13.10. 11:30 - 13:00 Hörsaal 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Friday 27.10. 11:30 - 13:00 Hörsaal 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 09.11. 15:00 - 16:30 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Friday 10.11. 11:30 - 13:00 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 16.11. 15:00 - 16:30 Digital
  • Thursday 30.11. 13:15 - 14:45 Hörsaal 1 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Thursday 07.12. 13:15 - 14:45 Hörsaal 4 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Thursday 14.12. 13:15 - 14:45 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
    Hörsaal 17 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 11.01. 13:15 - 14:45 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
    Hörsaal 17 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 18.01. 13:15 - 14:45 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 25.01. 13:15 - 14:45 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
    Hörsaal 17 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 25.01. 15:00 - 16:30 Hörsaal 5 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Thursday 01.02. 13:15 - 14:45 Hörsaal 4 Oskar-Morgenstern-Platz 1 Erdgeschoß

Information

Aims, contents and method of the course

Introduction to stochastic finance in the form of several sessions of lecture. Contents: binomial model; fundamental theorem of asset pricing; Hedging; Portfolio-optimization; Risk Management; Black Scholes formula. In four sessions of excercises (14.12. 2023, 11.1, 18.1., 25.1.2024) in two smaller groups we will discuss exercises to the contents of the lecture on the blackboard. There will be some programming tasks for the students. The groups will be fixed at the beginning of the semester.

Assessment and permitted materials

There are 3 ways to achieve points:
1) Written homework (Upload in Moodle), all materials permitted.
2) Presentation of exercises at the blackboard: free talk, preparation notes permitted
3) Written exam on Thursday 1.2.2024: 13:15-14:45 HS4, all materials permitted, notebook/laptop not permitted.

Minimum requirements and assessment criteria

The 3 ways give the following points:
1) 100% of homework = 40 points (i.e. 2.5% = 1 point)
2) With voluntary blackboard presentation you can achieve additional points (about 1 or 2 for each exercise)
3) Final test: 40 points can be achieved

Grades:
>=45 points: genügend (4)
>=54 points: befriedigend (3)
>= 62 points: gut (2)
>= 70 points: sehr gut (1)

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: Fr 12.01.2024 13:45