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.

2015W, 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
Thu16:30 - 18:0001.10.2015FH Hörsaal 6 - TPH Gastvortragender: Mario Kasper
Tue16:30 - 18:0013.10.2015 - 26.01.2016Sem.R. DA grün 06A .
AKFVM Selected topics in stochastics - Single appointments
DayDateTimeLocationDescription
Thu01.10.201516:30 - 18:00FH Hörsaal 6 - TPH Gastvortragender: Mario Kasper
Tue13.10.201516:30 - 18:00Sem.R. DA grün 06A Michele Nardin, On dividend maximization using a stochastic control approach
Tue20.10.201516:30 - 18:00Sem.R. DA grün 06A .
Tue27.10.201516:30 - 18:00Sem.R. DA grün 06A .
Tue03.11.201516:30 - 18:00Sem.R. DA grün 06A .
Tue10.11.201516:30 - 18:00Sem.R. DA grün 06A .
Tue17.11.201516:30 - 18:00Sem.R. DA grün 06A .
Tue24.11.201516:30 - 18:00Sem.R. DA grün 06A .
Tue01.12.201516:30 - 18:00Sem.R. DA grün 06A .
Tue15.12.201516:30 - 18:00Sem.R. DA grün 06A .
Tue12.01.201616:30 - 18:00Sem.R. DA grün 06A .
Tue19.01.201616:30 - 18:00Sem.R. DA grün 06A .
Tue26.01.201616:30 - 18:00Sem.R. DA grün 06A Srecko Mihaljevic: Pricing Electricity Derivatives on an Hourly Basis

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