105.594 Mathematical Finance 1: Discrete-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.

2016S, VO, 4.0h, 6.0EC

Properties

  • Semester hours: 4.0
  • Credits: 6.0
  • Type: VO Lecture

Aim of course

A gentle introduction to mathematical finance: The mathematical theory of arbitrage, pricing and hedging of derivative securities in a discrete, elementary setting.

Subject of course

The one-period model (Arbitrage, risk neutral measure, pricing, complete markets, optimal portfolios) The multiperiod model (self-financing portfolios, duality, Dalang/Morton/Willinger theorem) The Binomial Model, Cox-Ross-Rubinstein Model, distribution of the maximum Markov Models Taking limits in the Binomial Model, Black-Scholes Model American Options, Snell envelope, Doob decomposition Optimal portfolios

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Wed14:00 - 16:0002.03.2016 - 22.06.2016FH Hörsaal 3 - MATH .
Thu14:00 - 16:0003.03.2016 - 23.06.2016FH Hörsaal 3 - MATH .
Mathematical Finance 1: Discrete-Time Models - Single appointments
DayDateTimeLocationDescription
Wed02.03.201614:00 - 16:00FH Hörsaal 3 - MATH .
Thu03.03.201614:00 - 16:00FH Hörsaal 3 - MATH .
Wed09.03.201614:00 - 16:00FH Hörsaal 3 - MATH .
Thu10.03.201614:00 - 16:00FH Hörsaal 3 - MATH .
Wed16.03.201614:00 - 16:00FH Hörsaal 3 - MATH .
Thu17.03.201614:00 - 16:00FH Hörsaal 3 - MATH .
Wed06.04.201614:00 - 16:00FH Hörsaal 3 - MATH .
Thu07.04.201614:00 - 16:00FH Hörsaal 3 - MATH .
Wed13.04.201614:00 - 16:00FH Hörsaal 3 - MATH .
Thu14.04.201614:00 - 16:00FH Hörsaal 3 - MATH .
Wed20.04.201614:00 - 16:00FH Hörsaal 3 - MATH .
Thu21.04.201614:00 - 16:00FH Hörsaal 3 - MATH .
Wed27.04.201614:00 - 16:00FH Hörsaal 3 - MATH .
Thu28.04.201614:00 - 16:00FH Hörsaal 3 - MATH .
Wed04.05.201614:00 - 16:00FH Hörsaal 3 - MATH .
Wed11.05.201614:00 - 16:00FH Hörsaal 3 - MATH .
Thu12.05.201614:00 - 16:00FH Hörsaal 3 - MATH .
Wed18.05.201614:00 - 16:00FH Hörsaal 3 - MATH .
Thu19.05.201614:00 - 16:00FH Hörsaal 3 - MATH .
Wed25.05.201614:00 - 16:00FH Hörsaal 3 - MATH .

Examination modalities

Written and oral examination.
More information on: https://fam.tuwien.ac.at/lehre/pr/

Exams

DayTimeDateRoomMode of examinationApplication timeApplication modeExam
Fri11:00 - 14:0021.06.2024FH Hörsaal 1 - MWB written01.04.2024 00:00 - 14.06.2024 23:59TISSPrüfung 2024S
Mon12:00 - 15:0030.09.2024FH Hörsaal 1 - MWB written01.01.2024 00:00 - 23.09.2024 23:59TISSPrüfung 2024S (Nebentermin)

Course registration

Not necessary

Curricula

Study CodeObligationSemesterPrecon.Info
033 205 Financial and Actuarial Mathematics Mandatory4. Semester
066 405 Financial and Actuarial Mathematics Mandatory elective
860 GW Optional Courses - Technical Mathematics Not specified

Literature

No lecture notes are available.

Accompanying courses

Language

German