105.131 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, UE, 2.0h, 3.0EC

Properties

  • Semester hours: 2.0
  • Credits: 3.0
  • 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

  • Grafendorfer, Georg

Institute

Course dates

DayTimeDateLocationDescription
Wed13:15 - 14:4511.03.2009 - 30.06.2009Hörsaal 14 GRAFENDORFER
Financial mathematics - Single appointments
DayDateTimeLocationDescription
Wed11.03.200913:15 - 14:45Hörsaal 14 GRAFENDORFER
Wed18.03.200913:15 - 14:45Hörsaal 14 GRAFENDORFER
Wed25.03.200913:15 - 14:45Hörsaal 14 GRAFENDORFER
Wed01.04.200913:15 - 14:45Hörsaal 14 GRAFENDORFER
Wed08.04.200913:15 - 14:45Hörsaal 14 GRAFENDORFER
Wed15.04.200913:15 - 14:45Hörsaal 14 GRAFENDORFER
Wed22.04.200913:15 - 14:45Hörsaal 14 GRAFENDORFER
Wed29.04.200913:15 - 14:45Hörsaal 14 GRAFENDORFER
Wed06.05.200913:15 - 14:45Hörsaal 14 GRAFENDORFER
Wed13.05.200913:15 - 14:45Hörsaal 14 GRAFENDORFER
Wed20.05.200913:15 - 14:45Hörsaal 14 GRAFENDORFER
Wed27.05.200913:15 - 14:45Hörsaal 14 GRAFENDORFER
Wed03.06.200913:15 - 14:45Hörsaal 14 GRAFENDORFER
Wed10.06.200913:15 - 14:45Hörsaal 14 GRAFENDORFER
Wed17.06.200913:15 - 14:45Hörsaal 14 GRAFENDORFER
Wed24.06.200913:15 - 14:45Hörsaal 14 GRAFENDORFER

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).

Exams

DayTimeDateRoomMode of examinationApplication timeApplication modeExam
Thu - 27.06.2024assessedno application-Benotung zu Semesterende (2024S)

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

No lecture notes are available.

Accompanying courses

Language

German