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105.031
Advanced Mathematical Finance II
2006S
2005S
2004S
2003S
2002S
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
Grandits, Peter
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Course dates
Day
Time
Date
Location
Description
Thu
09:00 - 11:00
10.03.2005 - 30.06.2005
Sem.R. DA grün 06A
GRANDITS
Show single appointments
Advanced Mathematical Finance II - Single appointments
F
P
1
N
E
Day
Date
Time
Location
Description
Thu
10.03.2005
09:00 - 11:00
Sem.R. DA grün 06A
GRANDITS
Thu
17.03.2005
09:00 - 11:00
Sem.R. DA grün 06A
GRANDITS
Thu
24.03.2005
09:00 - 11:00
Sem.R. DA grün 06A
GRANDITS
Thu
31.03.2005
09:00 - 11:00
Sem.R. DA grün 06A
GRANDITS
Thu
07.04.2005
09:00 - 11:00
Sem.R. DA grün 06A
GRANDITS
Thu
14.04.2005
09:00 - 11:00
Sem.R. DA grün 06A
GRANDITS
Thu
21.04.2005
09:00 - 11:00
Sem.R. DA grün 06A
GRANDITS
Thu
28.04.2005
09:00 - 11:00
Sem.R. DA grün 06A
GRANDITS
Thu
05.05.2005
09:00 - 11:00
Sem.R. DA grün 06A
GRANDITS
Thu
12.05.2005
09:00 - 11:00
Sem.R. DA grün 06A
GRANDITS
Thu
19.05.2005
09:00 - 11:00
Sem.R. DA grün 06A
GRANDITS
Thu
26.05.2005
09:00 - 11:00
Sem.R. DA grün 06A
GRANDITS
Thu
02.06.2005
09:00 - 11:00
Sem.R. DA grün 06A
GRANDITS
Thu
09.06.2005
09:00 - 11:00
Sem.R. DA grün 06A
GRANDITS
Thu
16.06.2005
09:00 - 11:00
Sem.R. DA grün 06A
GRANDITS
Thu
23.06.2005
09:00 - 11:00
Sem.R. DA grün 06A
GRANDITS
Thu
30.06.2005
09:00 - 11:00
Sem.R. DA grün 06A
GRANDITS
F
P
1
N
E
Examination modalities
oral exam
Course registration
Not necessary
Curricula
Study Code
Obligation
Semester
Precon.
Info
No records found.
Literature
No lecture notes are available.
Accompanying courses
105.032 UE Advanced Mathematical Finance II (Tutorial)
Language
English