Universität Wien
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250099 VO Financial mathematics 2 (2011W)

5.00 ECTS (3.00 SWS), SPL 25 - Mathematik

Details

Language: English

Examination dates

Lecturers

Classes (iCal) - next class is marked with N

  • Tuesday 04.10. 13:00 - 15:00 Seminarraum
  • Wednesday 05.10. 17:00 - 18:00 Seminarraum
  • Tuesday 11.10. 13:00 - 15:00 Seminarraum
  • Wednesday 12.10. 17:00 - 18:00 Seminarraum
  • Tuesday 18.10. 13:00 - 15:00 Seminarraum
  • Wednesday 19.10. 17:00 - 18:00 Seminarraum
  • Tuesday 25.10. 13:00 - 15:00 Seminarraum
  • Tuesday 08.11. 13:00 - 15:00 Seminarraum
  • Wednesday 09.11. 17:00 - 18:00 Seminarraum
  • Tuesday 15.11. 13:00 - 15:00 Seminarraum
  • Wednesday 16.11. 17:00 - 18:00 Seminarraum
  • Tuesday 22.11. 13:00 - 15:00 Seminarraum
  • Wednesday 23.11. 17:00 - 18:00 Seminarraum
  • Tuesday 29.11. 13:00 - 15:00 Seminarraum
  • Wednesday 30.11. 17:00 - 18:00 Seminarraum
  • Tuesday 06.12. 13:00 - 15:00 Seminarraum
  • Wednesday 07.12. 17:00 - 18:00 Seminarraum
  • Tuesday 13.12. 13:00 - 15:00 Seminarraum
  • Wednesday 14.12. 17:00 - 18:00 Seminarraum
  • Tuesday 10.01. 13:00 - 15:00 Seminarraum
  • Wednesday 11.01. 17:00 - 18:00 Seminarraum
  • Tuesday 17.01. 13:00 - 15:00 Seminarraum
  • Wednesday 18.01. 17:00 - 18:00 Seminarraum
  • Tuesday 24.01. 13:00 - 15:00 Seminarraum
  • Wednesday 25.01. 17:00 - 18:00 Seminarraum
  • Tuesday 31.01. 13:00 - 15:00 Seminarraum

Information

Aims, contents and method of the course

We are going to discuss advanced models of mathematical finance (beyond Black-Scholes) and their numerical treatment. On the modelling side, I want to cover general equity models with and without jumps including the class of affine models, and, on the other hand, interest rate models, including LIBOR market models. Regarding numerical methods, I would like to give an overview of stochastic methods for stochastic differential equations, in particular containing Monte Carlo simulation and discretization of SDEs. On the other hand, in the context of affine models we will also discuss Fourier-transform based methods.

Assessment and permitted materials

Exam

Minimum requirements and assessment criteria

Examination topics

Reading list

Association in the course directory

MSTV, MAMV

Last modified: Mo 07.09.2020 15:40