Deutsch
Help
Login
Lectures
Courses
Academic Programs
Offered Theses
Application for studies
Mobility Services
roomTUlearn
Rooms
Booking Schedule
Student Support Services
Lehre
Forschung
Organisation
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
2003S
2002S
2001S
2000S
1999S
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
Hubalek, Friedrich
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Examination modalities
oral Seminar talk at the blackboard/overhead etc.
Course registration
Not necessary
Curricula
Study Code
Obligation
Semester
Precon.
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
105.005 VO Advanced Mathematics of Finance
Miscellaneous
Course homepage
Language
English