Universität Wien

250037 VO Financial Mathematics (2023W)

6.00 ECTS (4.00 SWS), SPL 25 - Mathematik
ON-SITE
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Details

Language: German

Examination dates

Lecturers

Classes (iCal) - next class is marked with N

  • Tuesday 03.10. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 04.10. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 10.10. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 11.10. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 17.10. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 18.10. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 24.10. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 25.10. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 31.10. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 07.11. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 08.11. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 14.11. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 15.11. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 21.11. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 22.11. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 28.11. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 29.11. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 05.12. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 06.12. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 12.12. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 13.12. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 09.01. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 10.01. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 16.01. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 17.01. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 23.01. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 24.01. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 30.01. 13:15 - 14:45 Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock

Information

Aims, contents and method of the course

Introduction to Mathematical Finance. Particular emphasis is given to:

* Basics of probability and stochastic processes in discrete time;
* Trading in a financial market model;
* Arbitrage and equivalent conditions for its absence;
* Replication (hedging) and pricing of financial options as well as the study of market (in)completeness;
* The CRR model and a heuristic derivation of its continuous-time limit.
If time permits we may also discuss, and among others, optimal portfolio selection and optimal stopping.

The lectures, as well as the tutorials, will be given in English.

Assessment and permitted materials

There will be a written exam at the end of the semester.

Minimum requirements and assessment criteria

Examination topics

Reading list

* A script will be shared that serves as an incomplete guide for the course.
* The book "Stochastic Finance," by Föllmer and Schied, serves as a nice and rigorous complement to the course.

Association in the course directory

FIN

Last modified: Tu 10.09.2024 09:06