Universität Wien

040723 UK Financial and Insurance Mathematics (2021W)

3.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften
Continuous assessment of course work
REMOTE
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 (iCal) - next class is marked with N

NOTE THAT: the final test takes place digitally on the Moodle page, Mo 31.1., 13:15-14:45

  • Tuesday 05.10. 11:30 - 13:00 Digital
  • Tuesday 12.10. 11:30 - 13:00 Digital
  • Tuesday 19.10. 11:30 - 13:00 Digital
  • Tuesday 09.11. 11:30 - 13:00 Digital
  • Tuesday 16.11. 11:30 - 13:00 Digital
  • Tuesday 23.11. 11:30 - 13:00 Digital
  • Tuesday 30.11. 11:30 - 13:00 Digital
  • Tuesday 07.12. 11:30 - 13:00 Digital
  • Tuesday 14.12. 11:30 - 13:00 Digital
    Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 11.01. 11:30 - 13:00 Digital
  • Tuesday 18.01. 11:30 - 13:00 Digital
  • Tuesday 25.01. 11:30 - 13:00 Digital
  • Monday 31.01. 13:15 - 14:45 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.

Assessment and permitted materials

Digital Midtermtest, Final Test in presence on Monday 31.1. (if possible, otherwse digita). Additional points can be achieved by solving exercises.

Minimum requirements and assessment criteria

Points available in two tests and homework. Accurate description of distribution of points can be found on the Moodle page. 50% of points have to be acchieved.

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 12.05.2023 00:13