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.

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

Course dates

DayTimeDateLocationDescription
Wed08:30 - 10:0004.03.2009 - 31.05.2009FH Hörsaal 3 - MATH PAPAPANTOLEON
Wed10:15 - 11:1504.03.2009 - 31.05.2009FH Hörsaal 2 PAPAPANTOLEON
Thu14:00 - 15:3005.03.2009 - 30.06.2009FH Hörsaal 2 SCHACHERMAYER
Thu14:00 - 15:3002.04.2009FH 8 Nöbauer HS - MATH PAPAPANTOLEON
Thu14:00 - 15:3002.04.2009 Aufgrund der Jobmesse TUday09 findet die Vorlesung am 2. April im Freihaus Hörsaal 8 statt.
Thu14:00 - 15:3028.05.2009 Die Vorlesung wird etwas geblockt und endet Ende Mai.
Financial mathematics - Single appointments
DayDateTimeLocationDescription
Wed04.03.200908:30 - 10:00FH Hörsaal 3 - MATH PAPAPANTOLEON
Wed04.03.200910:15 - 11:15FH Hörsaal 2 PAPAPANTOLEON
Thu05.03.200914:00 - 15:30FH Hörsaal 2 SCHACHERMAYER
Wed11.03.200908:30 - 10:00FH Hörsaal 3 - MATH PAPAPANTOLEON
Wed11.03.200910:15 - 11:15FH Hörsaal 2 PAPAPANTOLEON
Thu12.03.200914:00 - 15:30FH Hörsaal 2 SCHACHERMAYER
Wed18.03.200908:30 - 10:00FH Hörsaal 3 - MATH PAPAPANTOLEON
Wed18.03.200910:15 - 11:15FH Hörsaal 2 PAPAPANTOLEON
Thu19.03.200914:00 - 15:30FH Hörsaal 2 SCHACHERMAYER
Wed25.03.200908:30 - 10:00FH Hörsaal 3 - MATH PAPAPANTOLEON
Wed25.03.200910:15 - 11:15FH Hörsaal 2 PAPAPANTOLEON
Thu26.03.200914:00 - 15:30FH Hörsaal 2 SCHACHERMAYER
Wed01.04.200908:30 - 10:00FH Hörsaal 3 - MATH PAPAPANTOLEON
Wed01.04.200910:15 - 11:15FH Hörsaal 2 PAPAPANTOLEON
Thu02.04.200914:00 - 15:30FH Hörsaal 2 SCHACHERMAYER
Thu02.04.200914:00 - 15:30 Aufgrund der Jobmesse TUday09 findet die Vorlesung am 2. April im Freihaus Hörsaal 8 statt.
Thu02.04.200914:00 - 15:30FH 8 Nöbauer HS - MATH PAPAPANTOLEON
Wed08.04.200908:30 - 10:00FH Hörsaal 3 - MATH PAPAPANTOLEON
Wed08.04.200910:15 - 11:15FH Hörsaal 2 PAPAPANTOLEON
Thu09.04.200914:00 - 15:30FH Hörsaal 2 SCHACHERMAYER

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 CodeObligationSemesterPrecon.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 Mandatory2. Semester
066 405 Financial and Actuarial Mathematics Mandatory2. 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

Language

German