Universität Wien

040716 UK Introduction to Financial Mathematics (2024W)

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. 60 participants
Language: German

Lecturers

Classes (iCal) - next class is marked with N

Am 16.1.2025 findet die Lehrveranstaltung nicht statt.

  • Thursday 03.10. 13:15 - 14:45 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Thursday 10.10. 13:15 - 14:45 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 17.10. 13:15 - 14:45 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 24.10. 11:30 - 13:00 Hörsaal 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 24.10. 13:15 - 14:45 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 31.10. 13:15 - 14:45 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 07.11. 13:15 - 14:45 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 14.11. 11:30 - 13:00 Hörsaal 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 14.11. 13:15 - 14:45 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 21.11. 13:15 - 14:45 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 28.11. 13:15 - 14:45 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 05.12. 13:15 - 14:45 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 12.12. 11:30 - 13:00 Hörsaal 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 12.12. 13:15 - 14:45 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 09.01. 13:15 - 14:45 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 16.01. 13:15 - 14:45 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 23.01. 11:30 - 13:00 Hörsaal 10 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 23.01. 13:15 - 14:45 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 30.01. 13:15 - 14:45 Hörsaal 1 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 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 30.1.2025, 13:15-14:45, lecture room 1, 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 06.12.2024 10:05