105.029 AKFVM Selected topics in stochastics
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2012W, SE, 2.0h, 3.0EC

Properties

  • Semester hours: 2.0
  • Credits: 3.0
  • Type: SE Seminar

Aim of course

Introduction to recent works in financial and actuarial mathematics

Subject of course

Incomplete financial markets, duality and optimization in financial markets, martingal theory, stochastic volatility models, modelling and estimation of stochastic dependence, extreme value theory.

Additional information

Lectures are announced via FAM-NEWS, see http://www.fam.tuwien.ac.at/events/ for more information (e.g. abstracts, lecture hall).

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

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Fri09:00 - 18:3005.10.2012Hörsaal 6 - RPL PRisMa 2012
Tue16:30 - 17:3016.10.2012FH Hörsaal 3 - MATH Vortrag Irene Schreiber
Tue17:30 - 18:0016.10.2012FH Hörsaal 3 - MATH First meeting of the course, where talks will be assigned
Tue16:30 - 18:0023.10.2012 - 29.01.2013Sem.R. DA grün 06A .
Thu16:30 - 18:0008.11.2012Sem.R. DA grün 03 B Vortrag Christian Sagmeister
Fri14:00 - 15:3011.01.2013Sem.R. DA grün 04 aussertourlicher Termin mit 2. Teil von Vortrag Hubalek
AKFVM Selected topics in stochastics - Single appointments
DayDateTimeLocationDescription
Fri05.10.201209:00 - 18:30Hörsaal 6 - RPL PRisMa 2012
Tue16.10.201216:30 - 17:30FH Hörsaal 3 - MATH Vortrag Irene Schreiber
Tue16.10.201217:30 - 18:00FH Hörsaal 3 - MATH First meeting of the course, where talks will be assigned
Tue23.10.201216:30 - 18:00Sem.R. DA grün 06A Vortrag Tilmann Blümmel
Tue06.11.201216:30 - 18:00Sem.R. DA grün 06A Vortrag Carole Bernard
Thu08.11.201216:30 - 18:00Sem.R. DA grün 03 B Vortrag Christian Sagmeister
Tue13.11.201216:30 - 18:00Sem.R. DA grün 06A Vortrag Piet Porkert
Tue20.11.201216:30 - 18:00Sem.R. DA grün 06A .
Tue27.11.201216:30 - 18:00Sem.R. DA grün 06A .
Tue04.12.201216:30 - 18:00Sem.R. DA grün 06A .
Tue11.12.201216:30 - 18:00Sem.R. DA grün 06A .
Tue18.12.201216:30 - 18:00Sem.R. DA grün 06A .
Tue08.01.201316:30 - 18:00Sem.R. DA grün 06A .
Fri11.01.201314:00 - 15:30Sem.R. DA grün 04 aussertourlicher Termin mit 2. Teil von Vortrag Hubalek
Tue15.01.201316:30 - 18:00Sem.R. DA grün 06A .
Tue22.01.201316:30 - 18:00Sem.R. DA grün 06A .
Tue29.01.201316:30 - 18:00Sem.R. DA grün 06A .

Course registration

Not necessary

Curricula

Literature

No lecture notes are available.

Previous knowledge

Advanced knowledge in financial and actuarial mathematics, preferable on the level of a final-year Master or a PhD student.

Language

if required in English