Universität Wien

250016 VO Mathematical Finance (Continuous Time) (2024S)

5.00 ECTS (3.00 SWS), SPL 25 - Mathematik
ON-SITE

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Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).

Details

Language: English

Lecturers

Classes (iCal) - next class is marked with N

Monday 04.03. 09:45 - 11:15 Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday 05.03. 11:30 - 13:00 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Monday 18.03. 09:45 - 11:15 Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday 19.03. 11:30 - 13:00 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday 09.04. 11:30 - 13:00 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Monday 15.04. 09:45 - 11:15 Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday 16.04. 11:30 - 13:00 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday 23.04. 11:30 - 13:00 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday 30.04. 11:30 - 13:00 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday 07.05. 11:30 - 13:00 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Monday 13.05. 09:45 - 11:15 Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday 14.05. 11:30 - 13:00 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday 21.05. 11:30 - 13:00 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Monday 27.05. 09:45 - 11:15 Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday 28.05. 11:30 - 13:00 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday 04.06. 11:30 - 13:00 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Monday 10.06. 09:45 - 11:15 Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday 11.06. 11:30 - 13:00 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday 18.06. 11:30 - 13:00 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock
Monday 24.06. 09:45 - 11:15 Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
Tuesday 25.06. 11:30 - 13:00 Seminarraum 8 Oskar-Morgenstern-Platz 1 2.Stock

Information

Aims, contents and method of the course

* Fundamentals of continuous times processes relevant to finance: martingales, Brownian motion, geometric Brownian motion, stochastic integration, Ito formula, Ito processes, Girsanov theorem, martingale representation, etc.

* Fundamental aspects of continuous time mathematical finance: trading, super/sub hedging, replication, pricing of options, martingale measures, no-arbitrage, the fundamental theorem of asset pricing, market completeness, Black-Scholes formula, hedging within the Black-Scholes model, exotic options, model calibration given option prices, etc. If time permits we will cover stochastic optimal control problems in finance, such as utility maximization.

We will start the lecture with a brief introduction to discrete time stochastic processes and discrete time mathematical finance. Then we introduce the necessary machinery from continuous time stochastic processes. We apply this machinery towards building a continuous time theory of mathematical finance.

Assessment and permitted materials

Only a final exam. Depending on the size of the class, either oral or written (closed book) exam.

Minimum requirements and assessment criteria

Examination topics

The material from the lectures.

Reading list

For the elements of discrete time stochastic processes / mathematical finance, you may consult the Lecture Notes from Christa Cuchiero or Mathias Beiglböck (provided in the lecture) or the book 'Stochastic Finance' by Föllmer and Schied.

For continuous time processes / finance, good references are 'Introduction to stochastic calculus applied to finance' by Lamberton and Lapeyre, 'Stochastic calculus for finance II: continuous-time modelr' by Shreve, or 'Arbitrage theory in continuous time' by Björk.

Association in the course directory

MSTV

Last modified: Fr 01.03.2024 11:26