Universität Wien FIND

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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