105.031 Advanced Mathematical Finance II
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2006S, 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 - 10:4509.03.2006 - 29.06.2006Sem.R. DA grün 06A GRANDITS
Advanced Mathematical Finance II - Single appointments
DayDateTimeLocationDescription
Thu09.03.200609:00 - 10:45Sem.R. DA grün 06A GRANDITS
Thu16.03.200609:00 - 10:45Sem.R. DA grün 06A GRANDITS
Thu23.03.200609:00 - 10:45Sem.R. DA grün 06A GRANDITS
Thu30.03.200609:00 - 10:45Sem.R. DA grün 06A GRANDITS
Thu06.04.200609:00 - 10:45Sem.R. DA grün 06A GRANDITS
Thu13.04.200609:00 - 10:45Sem.R. DA grün 06A GRANDITS
Thu20.04.200609:00 - 10:45Sem.R. DA grün 06A GRANDITS
Thu27.04.200609:00 - 10:45Sem.R. DA grün 06A GRANDITS
Thu04.05.200609:00 - 10:45Sem.R. DA grün 06A GRANDITS
Thu11.05.200609:00 - 10:45Sem.R. DA grün 06A GRANDITS
Thu18.05.200609:00 - 10:45Sem.R. DA grün 06A GRANDITS
Thu25.05.200609:00 - 10:45Sem.R. DA grün 06A GRANDITS
Thu01.06.200609:00 - 10:45Sem.R. DA grün 06A GRANDITS
Thu08.06.200609:00 - 10:45Sem.R. DA grün 06A GRANDITS
Thu15.06.200609:00 - 10:45Sem.R. DA grün 06A GRANDITS
Thu22.06.200609:00 - 10:45Sem.R. DA grün 06A GRANDITS
Thu29.06.200609:00 - 10:45Sem.R. DA grün 06A GRANDITS

Examination modalities

oral exam

Course registration

Not necessary

Curricula

Study CodeObligationSemesterPrecon.Info
066 415 Actuarial Mathematics Not specified

Literature

No lecture notes are available.

Language

English