105.112 AKFVM Numerical methods for deviative pricing
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, VU, 3.0h, 4.5EC

Properties

Semester hours: 3.0
Credits: 4.5
Type: VU Lecture and Exercise

Aim of course

Numerical Valuation of financial derivatives like options.

Subject of course

Monte Carlo Methods path simulation Feynman-Kac formula, connection to partial differential equations Finite differences, finite elements methods variance reduction

Lecturers

Kainhofer, Reinhold

Institute

E105 Institute of Statistics and Mathematical Methods in Economics

Course dates

Day	Time	Date	Location	Description
Mon	14:15 - 15:00	10.03.2008 - 06.05.2008	Sem.R. DA grün 06A	KAINHOFER
Tue	15:30 - 16:15	11.03.2008 - 24.06.2008	Sem.R. DA grün 06A	KAINHOFER
Fri	10:00 - 13:00	02.05.2008	Sem.R. DC rot 07	KAINHOFER
Fri	14:00 - 18:00	02.05.2008	Sem.R. DC rot 07	KAINHOFER
Mon	13:15 - 14:45	05.05.2008 - 30.06.2008	Sem.R. DC rot 07	KAINHOFER

Show single appointments

AKFVM Numerical methods for deviative pricing - Single appointments

Day	Date	Time	Location	Description
Mon	10.03.2008	14:15 - 15:00	Sem.R. DA grün 06A	KAINHOFER
Tue	11.03.2008	15:30 - 16:15	Sem.R. DA grün 06A	KAINHOFER
Mon	17.03.2008	14:15 - 15:00	Sem.R. DA grün 06A	KAINHOFER
Tue	18.03.2008	15:30 - 16:15	Sem.R. DA grün 06A	KAINHOFER
Mon	24.03.2008	14:15 - 15:00	Sem.R. DA grün 06A	KAINHOFER
Tue	25.03.2008	15:30 - 16:15	Sem.R. DA grün 06A	KAINHOFER
Mon	31.03.2008	14:15 - 15:00	Sem.R. DA grün 06A	KAINHOFER
Tue	01.04.2008	15:30 - 16:15	Sem.R. DA grün 06A	KAINHOFER
Mon	07.04.2008	14:15 - 15:00	Sem.R. DA grün 06A	KAINHOFER
Tue	08.04.2008	15:30 - 16:15	Sem.R. DA grün 06A	KAINHOFER
Mon	14.04.2008	14:15 - 15:00	Sem.R. DA grün 06A	KAINHOFER
Tue	15.04.2008	15:30 - 16:15	Sem.R. DA grün 06A	KAINHOFER
Mon	21.04.2008	14:15 - 15:00	Sem.R. DA grün 06A	KAINHOFER
Tue	22.04.2008	15:30 - 16:15	Sem.R. DA grün 06A	KAINHOFER
Mon	28.04.2008	14:15 - 15:00	Sem.R. DA grün 06A	KAINHOFER
Tue	29.04.2008	15:30 - 16:15	Sem.R. DA grün 06A	KAINHOFER
Fri	02.05.2008	10:00 - 13:00	Sem.R. DC rot 07	KAINHOFER
Fri	02.05.2008	14:00 - 18:00	Sem.R. DC rot 07	KAINHOFER
Mon	05.05.2008	13:15 - 14:45	Sem.R. DC rot 07	KAINHOFER
Mon	05.05.2008	14:15 - 15:00	Sem.R. DA grün 06A	KAINHOFER

Examination modalities

home work exercises and oral exam

Course registration

Not necessary

Curricula

Study Code	Obligation	Semester	Precon.	Info
066 400 Mathematics	Not specified
066 401 Statistics	Not specified
066 402 Mathematics in Science and Technology	Not specified
066 403 Mathematics in Economics	Not specified
066 404 Mathematics in Computer Science	Not specified
066 405 Financial and Actuarial Mathematics	Not specified
066 415 Actuarial Mathematics	Not specified
860 Technical Mathematics	Not specified
864 Mathematics for Natural Sciences	Not specified
866 Economic Mathematics	Not specified
867 Statistics	Not specified
869 Mathematics in Computer Science	Not specified
873 Finance and Actuarial Mathematics	Not specified

Literature

No lecture notes are available.

Go to Course Materials

Miscellaneous

Course homepage

Language

German