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.

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

Institute

Course dates

DayTimeDateLocationDescription
Thu12:00 - 13:3004.03.2010 - 30.06.2010Hörsaal 15 SCHMOCK
Tue12:00 - 13:3009.03.2010 - 30.06.2010Hörsaal 15 SCHMOCK
Tue12:00 - 13:3016.03.2010 Dieser Termin entfällt!
Mathematical Finance 2: Continuous-Time Models - Single appointments
DayDateTimeLocationDescription
Thu04.03.201012:00 - 13:30Hörsaal 15 SCHMOCK
Tue09.03.201012:00 - 13:30Hörsaal 15 SCHMOCK
Thu11.03.201012:00 - 13:30Hörsaal 15 SCHMOCK
Tue16.03.201012:00 - 13:30Hörsaal 15 SCHMOCK
Tue16.03.201012:00 - 13:30 Dieser Termin entfällt!
Thu18.03.201012:00 - 13:30Hörsaal 15 SCHMOCK
Tue23.03.201012:00 - 13:30Hörsaal 15 SCHMOCK
Thu25.03.201012:00 - 13:30Hörsaal 15 SCHMOCK
Tue30.03.201012:00 - 13:30Hörsaal 15 SCHMOCK
Thu01.04.201012:00 - 13:30Hörsaal 15 SCHMOCK
Tue06.04.201012:00 - 13:30Hörsaal 15 SCHMOCK
Thu08.04.201012:00 - 13:30Hörsaal 15 SCHMOCK
Tue13.04.201012:00 - 13:30Hörsaal 15 SCHMOCK
Thu15.04.201012:00 - 13:30Hörsaal 15 SCHMOCK
Tue20.04.201012:00 - 13:30Hörsaal 15 SCHMOCK
Thu22.04.201012:00 - 13:30Hörsaal 15 SCHMOCK
Tue27.04.201012:00 - 13:30Hörsaal 15 SCHMOCK
Thu29.04.201012:00 - 13:30Hörsaal 15 SCHMOCK
Tue04.05.201012:00 - 13:30Hörsaal 15 SCHMOCK
Thu06.05.201012:00 - 13:30Hörsaal 15 SCHMOCK

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

  • 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

Accompanying courses

Continuative courses

Language

German