Universität Wien
Warning! The directory is not yet complete and will be amended until the beginning of the term.

040723 UK Financial and Insurance Mathematics (2014W)

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

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. 40 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

  • Tuesday 07.10. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 14.10. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 21.10. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 28.10. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 04.11. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 11.11. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 18.11. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 25.11. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 02.12. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 09.12. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 16.12. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 13.01. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 20.01. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 27.01. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Friday 30.01. 09:45 - 11:15 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock

Information

Aims, contents and method of the course

Ideas of mathematical finance for a simple example;
General models in continuous time: Bachelier, Black-Scholes, more recent models

Assessment and permitted materials

Minimum requirements and assessment criteria

Examination topics

Reading list

I. Karatzas, S. Shreve: Brownian Motion and Stochastic Calculus;
M. Musiela, M. Rutkowski: Martingale Methods in Financial Modelling
A. Mc Neil, R. Frey, P. Embrechts: Quantitative Risk Management

Association in the course directory

Last modified: Mo 07.09.2020 15:29