Universität Wien

040723 UK Financial and Insurance Mathematics (2020W)

3.00 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. 25 participants
Language: German

Lecturers

Classes

Diese Lehrveranstaltung findet zu den angegebenen Terminen digital statt. Asynchron möglich. Digitaler Midtermtest am 9.12. Digitaler Abschlusstest am 29.1. Die digitalen Vorlesungsräume befinden sich auf der Moodle-Seite der Lehrveranstaltung:
https://moodle.univie.ac.at/course/view.php?id=176825

Liste der Termine:
Dienstag 06.10.2020 18:30 - 20:00 Digital
Dienstag 13.10.2020 18:30 - 20:00 Digital
Dienstag 20.10.2020 18:30 - 20:00 Digital
Dienstag 03.11.2020 18:30 - 20:00 Digital
Dienstag 10.11.2020 18:30 - 20:00 Digital
Dienstag 17.11.2020 18:30 - 20:00 Digital
Mittwoch 25.11.2020 18:30 - 20:00 Digital
Mittwoch 02.12.2020 18:30 - 20:00 Digital
Mittwoch 09.12.2020 18:30 - 20:00 digitaler Midtermtest
Dienstag 15.12.2020 18:30 - 20:00 Digital
Dienstag 12.01.2021 18:30 - 20:00 Digital
Mittwoch 20.01.2021 18:30 - 20:00 Digital
Mittwoch 27.01.2021 18:30 - 20:00 Digital
Freitag 29.01.2021 18:30 - 20:00 Abschlusstest (voraussichtlich digital)

Information

Aims, contents and method of the course

Basic introduction in stochastic analysis to get an idea of the necessary tools for market models in mathematical finance. Ideas will be presented with examples of market models such as Black Scholes model, Bachelier model. In insurance mathematics Cramer Lundberg model will be sketched.

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

Assessment and permitted materials

Digitaler Midtermtest am 9.12., Abschlusstest am 29.1. (falls möglich, oder digital falls Präsenz nicht möglich). Weitere Punkte können durch Lösen von Übungsbeispielen erworben werden.

Minimum requirements and assessment criteria

Points available in two tests and homework. Accurate description of distribution of points follows in the next future.

Examination topics

Everything that is covered in the lecture or the exercises part of the course.

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: Fr 09.10.2020 11:48