Universität Wien

250002 VO Financial mathematics (2011S)

5.00 ECTS (3.00 SWS), SPL 25 - Mathematik

Details

Language: English

Examination dates

Lecturers

Classes (iCal) - next class is marked with N

Wednesday 09.03. 15:00 - 17:00 Seminarraum
Thursday 10.03. 15:00 - 16:00 Seminarraum
Wednesday 16.03. 15:00 - 17:00 Seminarraum
Thursday 17.03. 15:00 - 16:00 Seminarraum
Wednesday 23.03. 15:00 - 17:00 Seminarraum
Thursday 24.03. 15:00 - 16:00 Seminarraum
Wednesday 30.03. 15:00 - 17:00 Seminarraum
Thursday 31.03. 15:00 - 16:00 Seminarraum
Wednesday 06.04. 15:00 - 17:00 Seminarraum
Thursday 07.04. 15:00 - 16:00 Seminarraum
Wednesday 13.04. 15:00 - 17:00 Seminarraum
Thursday 14.04. 15:00 - 16:00 Seminarraum
Wednesday 04.05. 15:00 - 17:00 Seminarraum
Thursday 05.05. 15:00 - 16:00 Seminarraum
Wednesday 11.05. 15:00 - 17:00 Seminarraum
Thursday 12.05. 15:00 - 16:00 Seminarraum
Wednesday 18.05. 15:00 - 17:00 Seminarraum
Thursday 19.05. 15:00 - 16:00 Seminarraum
Wednesday 25.05. 15:00 - 17:00 Seminarraum
Thursday 26.05. 15:00 - 16:00 Seminarraum
Wednesday 01.06. 15:00 - 17:00 Seminarraum
Wednesday 08.06. 15:00 - 17:00 Seminarraum
Thursday 09.06. 15:00 - 16:00 Seminarraum
Wednesday 15.06. 15:00 - 17:00 Seminarraum
Thursday 16.06. 15:00 - 16:00 Seminarraum
Wednesday 22.06. 15:00 - 17:00 Seminarraum
Wednesday 29.06. 15:00 - 17:00 Seminarraum
Thursday 30.06. 15:00 - 16:00 Seminarraum

Information

Aims, contents and method of the course

The lecture on Financial Mathematics: Continuous-Time Models, gives an introduction to modern tools in financial mathematics. Based on the introductory lecture on probability theory, namely the lecture "Wahrscheinlichkeitstheorie und Statistik", the Brownian motion as the essential stochastic process for continuous modeling of financial assets, is introduced. Basic knowledge on stochastic calculus, such that the stochastic integral with respect to the Brownian motion and Itô's formula, will be provided as well. The famous Black-Scholes model for the stock price will be introduced and the Black-Scholes formula for option prices will be discussed in detail. We will also discuss various sensitivity parameters of the prices, namely the so-called Greeks. Further we will touch on different aspects of asset pricing, such that risk-neutral measures, the fundamental theorem of option prices, a connection to partial differential equations, or exotic options.

Assessment and permitted materials

Minimum requirements and assessment criteria

Examination topics

Reading list


Association in the course directory

MSTV, MAMV

Last modified: Mo 07.09.2020 15:40