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.

2022S, SE, 2.0h, 3.0EC

Properties

Semester hours: 2.0
Credits: 3.0
Type: SE Seminar
LectureTube course
Format: Presence

Learning outcomes

After successful completion of the course, students are able to...

read up on a scientific (mathematical) topic and work scientifically with their acquired knowledge,
specify topics they have not yet mastered and acquire them by using scientific literature,
present scientific results

Subject of course

Introduction to recent works in financial and actuarial mathematics Introduction to recent works in financial and actuarial mathematics
Incomplete financial markets, duality and optimization in financial markets, martingale theory, stochastic volatility models, modelling and estimation of stochastic dependence, extreme value theory.

Teaching methods

seminar talks

Mode of examination

Immanent

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

E105 Institute of Statistics and Mathematical Methods in Economics

Course dates

Day	Time	Date	Location	Description
Tue	16:00 - 18:00	01.03.2022 - 28.06.2022	Sem.R. DC rot 07	.
Wed	16:30 - 17:30	27.04.2022	https://fam.tuwien.ac.at/vr/20220427.php (LIVE)	Gastvortrag: Götz Cypra and Michael Feigl "Asset-Liability-Management für Versicherungen"
Tue	16:00 - 20:00	31.05.2022	FH 8 Nöbauer HS - MATH	17:00 Gastvortrag Carmen Boado-Penas https://fam.tuwien.ac.at/vr/20220531.php
Tue	16:00 - 20:00	21.06.2022	FH 8 Nöbauer HS - MATH	16:30 Gastvortrag: Ulrike Ebner (https://fam.tuwien.ac.at/vr/20220621.php)
Tue	16:00 - 20:00	13.09.2022	FH Hörsaal 5 - TPH	17:00 Gastvortrag Alexander Meiksner: https://fam.tuwien.ac.at/vr/20220913.php
Wed	17:00 - 20:00	28.09.2022	Valida Vortragsraum „Österreich“, Mooslackengasse 12, 1190 Wien (LIVE)	17:00 Gastvortrag Alexander Bontjes van Beek: https://fam.tuwien.ac.at/vr/20220928.php

Show single appointments

AKFVM Selected topics in stochastics - Single appointments

Day	Date	Time	Location	Description
Tue	01.03.2022	16:00 - 18:00	Sem.R. DC rot 07	.
Tue	08.03.2022	16:00 - 18:00	Sem.R. DC rot 07	.
Tue	15.03.2022	16:00 - 18:00	Sem.R. DC rot 07	.
Tue	22.03.2022	16:00 - 18:00	Sem.R. DC rot 07	.
Tue	29.03.2022	16:00 - 18:00	Sem.R. DC rot 07	.
Tue	05.04.2022	16:00 - 18:00	Sem.R. DC rot 07	.
Tue	26.04.2022	16:00 - 18:00	Sem.R. DC rot 07	.
Wed	27.04.2022	16:30 - 17:30	https://fam.tuwien.ac.at/vr/20220427.php	Gastvortrag: Götz Cypra and Michael Feigl "Asset-Liability-Management für Versicherungen"
Tue	03.05.2022	16:00 - 18:00	Sem.R. DC rot 07	.
Tue	10.05.2022	16:00 - 18:00	Sem.R. DC rot 07	.
Tue	17.05.2022	16:00 - 18:00	Sem.R. DC rot 07	.
Tue	24.05.2022	16:00 - 18:00	Sem.R. DC rot 07	.
Tue	31.05.2022	16:00 - 18:00	Sem.R. DC rot 07	16:00 Paolo Coltro: On the binomial approximation of the American put
Tue	31.05.2022	16:00 - 20:00	FH 8 Nöbauer HS - MATH	17:00 Gastvortrag Carmen Boado-Penas https://fam.tuwien.ac.at/vr/20220531.php
Tue	14.06.2022	16:00 - 18:00	Sem.R. DC rot 07	.
Tue	21.06.2022	16:00 - 20:00	FH 8 Nöbauer HS - MATH	16:30 Gastvortrag: Ulrike Ebner (https://fam.tuwien.ac.at/vr/20220621.php)
Tue	28.06.2022	16:00 - 18:00	Sem.R. DC rot 07	.
Tue	13.09.2022	16:00 - 20:00	FH Hörsaal 5 - TPH	17:00 Gastvortrag Alexander Meiksner: https://fam.tuwien.ac.at/vr/20220913.php
Wed	28.09.2022	17:00 - 20:00	Valida Vortragsraum „Österreich“, Mooslackengasse 12, 1190 Wien	17:00 Gastvortrag Alexander Bontjes van Beek: https://fam.tuwien.ac.at/vr/20220928.php

Examination modalities

seminar talks

Course registration

Begin	End	Deregistration end
01.01.2022 00:00	28.02.2022 23:59	31.03.2022 23:59

Registration modalities

Bei Interesse an einem Vortrag (und damit an einem Zeugnis) bitte mit der Betreuerin bzw. dem Betreuer der Diplomarbeit sprechen oder sonst einen der LVA-Leiter kontaktieren.

Curricula

Study Code	Obligation	Semester	Precon.	Info
860 GW Optional Courses - Technical Mathematics	Not specified

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