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105.057
Financial mathematics
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.
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2009S, VO, 4.0h, 6.0EC
Properties
Semester hours: 4.0
Credits: 6.0
Type: VO Lecture
Aim of course
Introduction to Mathematical Finance. Risk management of financial assets.
Subject of course
Brownian motion, Martingales, Ito's Calculus. Application to the theory of pricing and hedging derivative securities. The Black-Scholes formula for option pricing and related issues.
Lecturers
Papapantoleon, Antonis
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Course dates
Day
Time
Date
Location
Description
Wed
08:30 - 10:00
04.03.2009 - 31.05.2009
FH Hörsaal 3 - MATH
PAPAPANTOLEON
Wed
10:15 - 11:15
04.03.2009 - 31.05.2009
FH Hörsaal 2
PAPAPANTOLEON
Thu
14:00 - 15:30
05.03.2009 - 30.06.2009
FH Hörsaal 2
SCHACHERMAYER
Thu
14:00 - 15:30
02.04.2009
FH 8 Nöbauer HS - MATH
PAPAPANTOLEON
Thu
14:00 - 15:30
02.04.2009
Aufgrund der Jobmesse TUday09 findet die Vorlesung am 2. April im Freihaus Hörsaal 8 statt.
Thu
14:00 - 15:30
28.05.2009
Die Vorlesung wird etwas geblockt und endet Ende Mai.
Show single appointments
Financial mathematics - Single appointments
F
P
1
2
3
N
E
Day
Date
Time
Location
Description
Wed
04.03.2009
08:30 - 10:00
FH Hörsaal 3 - MATH
PAPAPANTOLEON
Wed
04.03.2009
10:15 - 11:15
FH Hörsaal 2
PAPAPANTOLEON
Thu
05.03.2009
14:00 - 15:30
FH Hörsaal 2
SCHACHERMAYER
Wed
11.03.2009
08:30 - 10:00
FH Hörsaal 3 - MATH
PAPAPANTOLEON
Wed
11.03.2009
10:15 - 11:15
FH Hörsaal 2
PAPAPANTOLEON
Thu
12.03.2009
14:00 - 15:30
FH Hörsaal 2
SCHACHERMAYER
Wed
18.03.2009
08:30 - 10:00
FH Hörsaal 3 - MATH
PAPAPANTOLEON
Wed
18.03.2009
10:15 - 11:15
FH Hörsaal 2
PAPAPANTOLEON
Thu
19.03.2009
14:00 - 15:30
FH Hörsaal 2
SCHACHERMAYER
Wed
25.03.2009
08:30 - 10:00
FH Hörsaal 3 - MATH
PAPAPANTOLEON
Wed
25.03.2009
10:15 - 11:15
FH Hörsaal 2
PAPAPANTOLEON
Thu
26.03.2009
14:00 - 15:30
FH Hörsaal 2
SCHACHERMAYER
Wed
01.04.2009
08:30 - 10:00
FH Hörsaal 3 - MATH
PAPAPANTOLEON
Wed
01.04.2009
10:15 - 11:15
FH Hörsaal 2
PAPAPANTOLEON
Thu
02.04.2009
14:00 - 15:30
FH Hörsaal 2
SCHACHERMAYER
Thu
02.04.2009
14:00 - 15:30
Aufgrund der Jobmesse TUday09 findet die Vorlesung am 2. April im Freihaus Hörsaal 8 statt.
Thu
02.04.2009
14:00 - 15:30
FH 8 Nöbauer HS - MATH
PAPAPANTOLEON
Wed
08.04.2009
08:30 - 10:00
FH Hörsaal 3 - MATH
PAPAPANTOLEON
Wed
08.04.2009
10:15 - 11:15
FH Hörsaal 2
PAPAPANTOLEON
Thu
09.04.2009
14:00 - 15:30
FH Hörsaal 2
SCHACHERMAYER
F
P
1
2
3
N
E
Examination modalities
written and oral exam The written exam can be taken at one of three dates during the semester. Dates and details can be found here:
http://www.fam.tuwien.ac.at/lehre/pr/index.php
Course registration
Not necessary
Curricula
Study Code
Obligation
Semester
Precon.
Info
066 400 Mathematics
Mandatory elective
066 401 Statistics
Mandatory elective
066 402 Mathematics in Science and Technology
Mandatory elective
066 403 Mathematics in Economics
Mandatory elective
066 404 Mathematics in Computer Science
Mandatory elective
066 405 Financial and Actuarial Mathematics
Mandatory
2. Semester
066 405 Financial and Actuarial Mathematics
Mandatory
2. Semester
860 Technical Mathematics
Mandatory elective
864 Mathematics for Natural Sciences
Mandatory elective
866 Economic Mathematics
Mandatory elective
867 Statistics
Mandatory elective
869 Mathematics in Computer Science
Mandatory elective
873 Finance and Actuarial Mathematics
Mandatory
873 Finance and Actuarial Mathematics
Mandatory
Literature
Shreve: Stochastic Calculus for Finance II - Continuous-Time Models Lamberton, Lapeyre: Introduction to Stochastic calculus Applied to Finance. Baxter, Rennie: Financial calculus - An Introduction to Derivative Pricing. Björk: Arbitrage Theory in Continuous Time. Föllmer, Schied: Stochastic Finance - An Introduction in Discrete Time.
Accompanying courses
105.131 UE Mathematical Finance 2: Continuous-Time Models
Language
German