105.021 Seminar Mathematical finance 2
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2004S, SE, 2.0h, 2.0EC

Properties

  • Semester hours: 2.0
  • Credits: 2.0
  • Type: SE Seminar

Aim of course

Prepare and give one or two seminar presentations in English, each typically 90 minutes (slides, blackboard, laptop, ...). The seminar is completely independent of the seminar Mathematical Finance 1 by Peter Grandits.

Subject of course

See http://www.cmap.polytechnique.fr/~rama/Jumps/ for table of contents and a sample chapter. We learn exciting theory: Jumps, mathematically Levy processes, and go beyond the Black-Scholes/Merton world of Wiener processes and diffusions. And we learn about calibration, basically mathematically sound methods to fit models to the observed price of options.

Additional information

Please consider the plagiarism guidelines of TU Wien when writing your seminar paper: Directive concerning the handling of plagiarism (PDF)

Lecturers

Institute

Examination modalities

oral Seminar talk at the blackboard/overhead etc.

Course registration

Not necessary

Curricula

Study CodeObligationSemesterPrecon.Info
066 415 Actuarial Mathematics Not specified

Literature

Rama Cont and Peter Tankov's brand new book "Financial Modelling With Jump Processes" Chapman & Hall / CRC Press, 2003

Previous knowledge

Basic knowledge of mathematical finance, as taught in our course "Advanced mathematics of finance" or the literature quoted there.

Preceding courses

Miscellaneous

Language

English