Universität Wien

250110 VO Mathematical Finance (continuous time) (2020S)

5.00 ECTS (3.00 SWS), SPL 25 - Mathematik

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Details

Language: English

Examination dates

Lecturers

Classes (iCal) - next class is marked with N

  • Monday 02.03. 11:30 - 13:00 Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 04.03. 11:30 - 12:15 Hörsaal 2 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Monday 09.03. 11:30 - 13:00 Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 11.03. 11:30 - 12:15 Hörsaal 2 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Monday 16.03. 11:30 - 13:00 Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 18.03. 11:30 - 12:15 Hörsaal 2 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Monday 23.03. 11:30 - 13:00 Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 25.03. 11:30 - 12:15 Hörsaal 2 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Monday 30.03. 11:30 - 13:00 Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 01.04. 11:30 - 12:15 Hörsaal 2 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Monday 20.04. 11:30 - 13:00 Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 22.04. 11:30 - 12:15 Hörsaal 2 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Monday 27.04. 11:30 - 13:00 Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 29.04. 11:30 - 12:15 Hörsaal 2 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Monday 04.05. 11:30 - 13:00 Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 06.05. 11:30 - 12:15 Hörsaal 2 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Monday 11.05. 11:30 - 13:00 Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 13.05. 11:30 - 12:15 Hörsaal 2 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Monday 18.05. 11:30 - 13:00 Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 20.05. 11:30 - 12:15 Hörsaal 2 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Monday 25.05. 11:30 - 13:00 Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 27.05. 11:30 - 12:15 Hörsaal 2 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Wednesday 03.06. 11:30 - 12:15 Hörsaal 2 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Monday 08.06. 11:30 - 13:00 Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 10.06. 11:30 - 12:15 Hörsaal 2 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Monday 15.06. 11:30 - 13:00 Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 17.06. 11:30 - 12:15 Hörsaal 2 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Monday 22.06. 11:30 - 13:00 Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 24.06. 11:30 - 12:15 Hörsaal 2 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Monday 29.06. 11:30 - 13:00 Seminarraum 7 Oskar-Morgenstern-Platz 1 2.Stock

Information

Aims, contents and method of the course

We will give an introduction to mathematical finance in continuous time as well as its foundations from stochastic analysis, including:
-Ito integral
-Ito-Doeblin formula
-Martingale representation theorem
-Girsanov's Theorem
-Black-Scholes model
-Heston model
-local volatility surface and local volatility model

Assessment and permitted materials

oral exam

Minimum requirements and assessment criteria

Examination topics

please see above

Reading list

St. Shreve "Stochastic Calculus for Finance II, Continuous-Time models", Springer, 2004.

B. Oksendal "Stochastic differential Equations", Springer, 2007.

Steele, J. Michael: "Stochastic Calculus and Financial Applications", Springer 2001

Association in the course directory

MSTV

Last modified: Sa 04.03.2023 00:23