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105.057
Mathematical Finance 2: Continuous-Time Models
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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2010S, 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
Schmock, Uwe
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Course dates
Day
Time
Date
Location
Description
Thu
12:00 - 13:30
04.03.2010 - 30.06.2010
Hörsaal 15
SCHMOCK
Tue
12:00 - 13:30
09.03.2010 - 30.06.2010
Hörsaal 15
SCHMOCK
Tue
12:00 - 13:30
16.03.2010
Dieser Termin entfällt!
Show single appointments
Mathematical Finance 2: Continuous-Time Models - Single appointments
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1
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Day
Date
Time
Location
Description
Thu
04.03.2010
12:00 - 13:30
Hörsaal 15
SCHMOCK
Tue
09.03.2010
12:00 - 13:30
Hörsaal 15
SCHMOCK
Thu
11.03.2010
12:00 - 13:30
Hörsaal 15
SCHMOCK
Tue
16.03.2010
12:00 - 13:30
Hörsaal 15
SCHMOCK
Tue
16.03.2010
12:00 - 13:30
Dieser Termin entfällt!
Thu
18.03.2010
12:00 - 13:30
Hörsaal 15
SCHMOCK
Tue
23.03.2010
12:00 - 13:30
Hörsaal 15
SCHMOCK
Thu
25.03.2010
12:00 - 13:30
Hörsaal 15
SCHMOCK
Tue
30.03.2010
12:00 - 13:30
Hörsaal 15
SCHMOCK
Thu
01.04.2010
12:00 - 13:30
Hörsaal 15
SCHMOCK
Tue
06.04.2010
12:00 - 13:30
Hörsaal 15
SCHMOCK
Thu
08.04.2010
12:00 - 13:30
Hörsaal 15
SCHMOCK
Tue
13.04.2010
12:00 - 13:30
Hörsaal 15
SCHMOCK
Thu
15.04.2010
12:00 - 13:30
Hörsaal 15
SCHMOCK
Tue
20.04.2010
12:00 - 13:30
Hörsaal 15
SCHMOCK
Thu
22.04.2010
12:00 - 13:30
Hörsaal 15
SCHMOCK
Tue
27.04.2010
12:00 - 13:30
Hörsaal 15
SCHMOCK
Thu
29.04.2010
12:00 - 13:30
Hörsaal 15
SCHMOCK
Tue
04.05.2010
12:00 - 13:30
Hörsaal 15
SCHMOCK
Thu
06.05.2010
12:00 - 13:30
Hörsaal 15
SCHMOCK
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1
2
N
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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
Marek Musiela, Marek Rutkowski: Martingale Methods in Financial Modelling. Springer, 2nd ed., 2005, ISBN 3-54020-966-2.
Monique Jeanblanc-Picqué, Marc Yor, Mark Chesney: Mathematical Methods for Financial Markets. Springer, 2009, ISBN 978-1-85233-376-8,
DOI 10.1007/978-1-84628-737-4
.
Steven E. Shreve: Stochastic Calculus for Finance II. Continuous-Time Models. Springer, 2004, ISBN 0-38740-101-6.
Ioannis Karatzas, Steven E. Shreve: Methods of Mathematical Finance. Springer, corr. 2. pr., 1999, ISBN 0-387-9839-2.
Damien Lamberton, Bernard Lapeyre: Introduction to Stochastic Calculus Applied to Finance. Chapman & Hall, 2nd ed., 2008, ISBN 978-1-58488-626-6.
Tomas Björk: Arbitrage Theory in Continuous Time. Oxford University Press, 2nd ed., 2004, ISBN 978-0-19927-126-9.
Martin Baxter, Andrew Rennie: Financial Calculus. Cambridge University Press, 1998, ISBN 0-52155-289-3.
Foundations
Hans Föllmer, Alexander Schied: Stochastic Finance. An Introduction in Discrete Time. De Gruyter, 2nd ed., 2004, ISBN 3-11018-346-3.
Bernt K. Øksendal: Stochastic Differential Equations, an Introduction with Applications. Springer, 6th ed., 2007, ISBN 978-3-54004-758-2.
Daniel Revuz, Marc Yor: Continuous Martingales and Brownian Motion. Springer, 3. ed., corr. 3. print., 2005, ISBN 3-54064-325-7.
Olav Kallenberg: Foundations of Modern Probability. Springer, 2nd ed., 2002, ISBN 0-38795-313-2.
Ioannis Karatzas, Steven E. Shreve: Brownian Motion and Stochastic Calculus. Springer, 2. ed., corr. 6. print., 2000, ISBN 0-38797-655-8.
Preceding courses
105.090 VO Stochastic analysis in financial and actuarial mathematics 1
105.089 UE Stochastic analysis in financial and actuarial mathematics 1
105.054 VU Mathematical Finance 1: Discrete-Time Models
Accompanying courses
105.091 VO Stochastic analysis in financial and actuarial mathematics 2
105.092 UE Stochastic analysis in financial and actuarial mathematics 2
105.131 UE Mathematical Finance 2: Continuous-Time Models
Continuative courses
105.029 SE AKFVM Selected topics in stochastics
Language
German