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105.065
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.
2008S
2007S
2006S
2005S
2008S, UE, 2.0h, 4.0EC
Properties
Semester hours: 2.0
Credits: 4.0
Type: UE Exercise
Aim of course
Lear to solve and present concrete exercises related to the above mentioned topics, get accquainted with the material of the course by doing.
Subject of course
Traditional exercises accompagning the lecture. Exercises illustrate and extend the material of the course. We try to solve exercises related to the following topics: Recaptiulating some probability theory, Forwards, Futures, and Options, Trading strategies, Arbitrage (Fundamental Theorem of Asset Pricing) Put-call parity, option price range, binomial model (Cox-Ross-Rubinstein) and extensions, option pricing, risk neutral evaluation, replicating trading strategies, Brownian motion (Wiener process), martingales, Ito's formula, change of measure (Girsanov's theorem), Black-Scholes equation, simple stochastic differential equations, implicit volatility, greeks.
Lecturers
Hubalek, Friedrich
Gerhold, Stefan
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Course dates
Day
Time
Date
Location
Description
Wed
10:15 - 11:45
12.03.2008 - 30.06.2008
FH Hörsaal 2
HUBALEK
Wed
13:15 - 14:45
12.03.2008 - 25.06.2008
Hörsaal 14
HUBALEK
Mon
13:15 - 14:45
17.03.2008 - 30.06.2008
Hörsaal 15
HUBALEK
Show single appointments
Financial mathematics - Single appointments
F
P
1
2
3
N
E
Day
Date
Time
Location
Description
Wed
12.03.2008
10:15 - 11:45
FH Hörsaal 2
HUBALEK
Wed
12.03.2008
13:15 - 14:45
Hörsaal 14
HUBALEK
Mon
17.03.2008
13:15 - 14:45
Hörsaal 15
HUBALEK
Wed
19.03.2008
10:15 - 11:45
FH Hörsaal 2
HUBALEK
Wed
19.03.2008
13:15 - 14:45
Hörsaal 14
HUBALEK
Mon
24.03.2008
13:15 - 14:45
Hörsaal 15
HUBALEK
Wed
26.03.2008
10:15 - 11:45
FH Hörsaal 2
HUBALEK
Wed
26.03.2008
13:15 - 14:45
Hörsaal 14
HUBALEK
Mon
31.03.2008
13:15 - 14:45
Hörsaal 15
HUBALEK
Wed
02.04.2008
10:15 - 11:45
FH Hörsaal 2
HUBALEK
Wed
02.04.2008
13:15 - 14:45
Hörsaal 14
HUBALEK
Mon
07.04.2008
13:15 - 14:45
Hörsaal 15
HUBALEK
Wed
09.04.2008
10:15 - 11:45
FH Hörsaal 2
HUBALEK
Wed
09.04.2008
13:15 - 14:45
Hörsaal 14
HUBALEK
Mon
14.04.2008
13:15 - 14:45
Hörsaal 15
HUBALEK
Wed
16.04.2008
10:15 - 11:45
FH Hörsaal 2
HUBALEK
Wed
16.04.2008
13:15 - 14:45
Hörsaal 14
HUBALEK
Mon
21.04.2008
13:15 - 14:45
Hörsaal 15
HUBALEK
Wed
23.04.2008
10:15 - 11:45
FH Hörsaal 2
HUBALEK
Wed
23.04.2008
13:15 - 14:45
Hörsaal 14
HUBALEK
F
P
1
2
3
N
E
Examination modalities
Exercises are to be prepared and presented on a voluntary basis. If participation is unsatisfactory two written tests (did not happen so far).
Course registration
Not necessary
Curricula
Study Code
Obligation
Semester
Precon.
Info
066 405 Financial and Actuarial Mathematics
Mandatory
2. Semester
873 Finance and Actuarial Mathematics
Mandatory
Literature
No lecture notes are available.
Accompanying courses
105.057 VO Mathematical Finance 2: Continuous-Time Models
Language
German