105.031 Advanced Mathematical Finance II

2005S, VO, 2.0h, 3.0EC

Properties

  • Semester hours: 2.0
  • Credits: 3.0
  • Type: VO Lecture

Aim of course

Introduction in interest rate modelling

Subject of course

Stochastic analysis: Ito calculus, stochastic differential equations, Girsanov Theorem; interest rate modelling: short rate models Heath-Jarrow Morton methodology for forward rate models.

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Thu09:00 - 11:0010.03.2005 - 30.06.2005Sem.R. DA grün 06A GRANDITS
Advanced Mathematical Finance II - Single appointments
DayDateTimeLocationDescription
Thu10.03.200509:00 - 11:00Sem.R. DA grün 06A GRANDITS
Thu17.03.200509:00 - 11:00Sem.R. DA grün 06A GRANDITS
Thu24.03.200509:00 - 11:00Sem.R. DA grün 06A GRANDITS
Thu31.03.200509:00 - 11:00Sem.R. DA grün 06A GRANDITS
Thu07.04.200509:00 - 11:00Sem.R. DA grün 06A GRANDITS
Thu14.04.200509:00 - 11:00Sem.R. DA grün 06A GRANDITS
Thu21.04.200509:00 - 11:00Sem.R. DA grün 06A GRANDITS
Thu28.04.200509:00 - 11:00Sem.R. DA grün 06A GRANDITS
Thu05.05.200509:00 - 11:00Sem.R. DA grün 06A GRANDITS
Thu12.05.200509:00 - 11:00Sem.R. DA grün 06A GRANDITS
Thu19.05.200509:00 - 11:00Sem.R. DA grün 06A GRANDITS
Thu26.05.200509:00 - 11:00Sem.R. DA grün 06A GRANDITS
Thu02.06.200509:00 - 11:00Sem.R. DA grün 06A GRANDITS
Thu09.06.200509:00 - 11:00Sem.R. DA grün 06A GRANDITS
Thu16.06.200509:00 - 11:00Sem.R. DA grün 06A GRANDITS
Thu23.06.200509:00 - 11:00Sem.R. DA grün 06A GRANDITS
Thu30.06.200509:00 - 11:00Sem.R. DA grün 06A GRANDITS

Examination modalities

oral exam

Course registration

Not necessary

Curricula

Study CodeObligationSemesterPrecon.Info
No records found.

Literature

No lecture notes are available.

Accompanying courses

Language

English