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.

2015S, 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, martingale theory, stochastic volatility models, modelling and estimation of stochastic dependence, extreme value theory.

Additional information

This seminar mainly comprises guest talks and presentations of master's theses of the research group financial and actuarial mathematics. However, any master's student can participate and receive a grade.
Guest talks of this seminar are announced on the FAM webpage, see https://fam.tuwien.ac.at/events/ (mailing list: https://fam.tuwien.ac.at/mailman/listinfo/fam-news).
Presentations of master's theses and other student's talks will be announced through TISS news.

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
Tue16:30 - 18:0010.03.2015 - 16.06.2015Sem.R. DA grün 06A .
Tue16:30 - 18:0017.03.2015GM 4 Knoller Hörsaal - VT Gastvortragender Jonas Hirz
Tue16:30 - 18:0019.05.2015 Böcklsaal der TU Wien, Hauptgebäude, Stiege I, 1. StockGastvortragender René Knapp
Tue16:30 - 18:0026.05.2015Sem.R. DA grün 04 Julia Formanek: Energiemärkte
Tue16:30 - 18:0009.06.2015Hörsaal 6 - RPL Gastvortragender Pavel Shevchenko
Tue16:30 - 18:0023.06.2015GM 4 Knoller Hörsaal - VT Gastvortragender Alois Gisler
Thu16:30 - 18:0025.06.2015Hörsaal 6 - RPL Gastvortragende Thomas Viehmann und Andrea Rauter
AKFVM Selected topics in stochastics - Single appointments
DayDateTimeLocationDescription
Tue10.03.201516:30 - 18:00Sem.R. DA grün 06A Alexandra Baumgartner
Tue17.03.201516:30 - 18:00GM 4 Knoller Hörsaal - VT Gastvortragender Jonas Hirz
Tue24.03.201516:30 - 18:00Sem.R. DA grün 06A .
Tue14.04.201516:30 - 18:00Sem.R. DA grün 06A Katharina Laimer
Tue21.04.201516:30 - 18:00Sem.R. DA grün 06A .
Tue28.04.201516:30 - 18:00Sem.R. DA grün 06A .
Tue05.05.201516:30 - 18:00Sem.R. DA grün 06A .
Tue12.05.201516:30 - 18:00Sem.R. DA grün 06A Florian Steiner: Variable annuities
Tue19.05.201516:30 - 18:00 Böcklsaal der TU Wien, Hauptgebäude, Stiege I, 1. StockGastvortragender René Knapp
Tue26.05.201516:30 - 18:00Sem.R. DA grün 04 Julia Formanek: Energiemärkte
Tue02.06.201516:30 - 18:00Sem.R. DA grün 06A Anna Frank: Spartenspezifische Analyse von Reservierungsmethoden
Tue09.06.201516:30 - 18:00Hörsaal 6 - RPL Gastvortragender Pavel Shevchenko
Tue16.06.201516:30 - 18:00Sem.R. DA grün 06A .
Tue23.06.201516:30 - 18:00GM 4 Knoller Hörsaal - VT Gastvortragender Alois Gisler
Thu25.06.201516:30 - 18:00Hörsaal 6 - RPL Gastvortragende Thomas Viehmann und Andrea Rauter

Examination modalities

Master's students who want a grade for the seminar should contact one of the lecturers directly to fix a topic. The student then has to present a seminar talk and attend the other talks of the semester.

Course registration

Not necessary

Curricula

Literature

No lecture notes are available.

Previous knowledge

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

Language

if required in English