Universität Wien

250028 UE Tutorials on financial mathematics (2015W)

2.00 ECTS (1.00 SWS), SPL 25 - Mathematik
Continuous assessment of course work

Summary

1 Cuchiero , Moodle
2 Cuchiero

Registration/Deregistration

Groups

Group 1

max. 25 participants
Language: German
LMS: Moodle

Lecturers

Classes (iCal) - next class is marked with N

Achtung: Der erste Übungstermin für Finanzmathematik 1 (Gruppe 1 + Gruppe 2) findet am 12.10.2015 um 15:15-16:00 statt.

  • Monday 12.10. 15:15 - 16:00 Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Monday 19.10. 15:15 - 16:00 Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Monday 09.11. 15:15 - 16:00 Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Monday 09.11. 15:15 - 17:00 Hörsaal 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Monday 16.11. 15:15 - 16:00 Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Monday 23.11. 15:15 - 16:00 Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Monday 30.11. 15:15 - 16:00 Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Monday 07.12. 15:15 - 16:00 Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Monday 14.12. 15:15 - 16:00 Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Monday 11.01. 16:00 - 16:45 Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
  • Monday 18.01. 15:15 - 16:00 Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Monday 25.01. 15:15 - 16:00 Seminarraum 12 Oskar-Morgenstern-Platz 1 2.Stock

Aims, contents and method of the course

Arbitrage theory in discrete time, valuation of European and American options, Binomial option pricing model, random walk, Black-Scholes formula, interest rate models

Assessment and permitted materials

For a positive mark, a minimum of 50% of the exercises must be solved and at least 2 times the solution has to be presented at the blackboard.

Group 2

max. 25 participants
Language: German

Lecturers

Classes

Currently no class schedule is known.

Aims, contents and method of the course

Arbitrage theory in discrete time, valuation of European and American options, Binomial option pricing model, random walk, Black-Scholes formula, interest rate models

Assessment and permitted materials

For a positive mark, a minimum of 50% of the exercises must be solved and at least 2 times the solution has to be presented at the blackboard.

Information

Minimum requirements and assessment criteria

Examination topics

Exercises are presented on the blackboard by the students

Reading list

Freddy Delbaen and Walter Schachermayer: The mathematics of arbitrage
Hans Föllmer and Alexander Schied: Stochastic Finance: An Introduction in Discrete Time.
Steven Shreve: The Binomial Asset Pricing Model
Sean Dineen: Probability Theory in Finance

Association in the course directory

BMF, WFM

Last modified: Mo 07.09.2020 15:40