Universität Wien

040723 UK Financial and Insurance Mathematics (2015W)

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 06.10. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 13.10. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 20.10. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 27.10. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 03.11. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 10.11. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 17.11. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 24.11. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 01.12. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 15.12. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 12.01. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 19.01. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 26.01. 13:15 - 14:45 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Friday 29.01. 09:45 - 11:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.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