Universität Wien
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040716 UK Introduction to Financial Mathematics (2025W)

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

Th 02.10. 13:15-14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock

Details

max. 60 participants
Language: German

Lecturers

    Classes (iCal) - next class is marked with N

    • Thursday 09.10. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
    • Thursday 16.10. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
    • Thursday 16.10. 15:00 - 16:30 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
    • Thursday 23.10. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
    • Thursday 30.10. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
    • Thursday 06.11. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
    • Thursday 06.11. 15:00 - 16:30 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
    • Thursday 13.11. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
    • Thursday 20.11. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
    • Thursday 27.11. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
    • Thursday 04.12. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
    • Thursday 11.12. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
    • Thursday 11.12. 15:00 - 16:30 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
    • Thursday 18.12. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
    • Thursday 08.01. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
    • Thursday 15.01. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
    • Thursday 22.01. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
    • Thursday 22.01. 15:00 - 16:30 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
    • Thursday 29.01. 13:15 - 14:45 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
      Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock

    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 29.1.2026, 13:15-14:45, lecture room 6, all materials permitted, notebook/laptop/tablet is 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

    Vorlesungsfolien
    Stochastic Calculus for Finance I (Föllmer, Schied)
    The Binomial Asset Pricing Model (Shreve)

    Association in the course directory

    Last modified: Fr 27.06.2025 09:45