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.

2019S, 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, Dalang/Morton/Willinger theorem) The Binomial Model, distribution of the maximum, Taking limits in the Binomial Model, Black-Scholes Model, American Options, Snell envelope, Doob decomposition

Lecturers

  • Yang, Junjian

Institute

Course dates

DayTimeDateLocationDescription
Wed14:00 - 16:0006.03.2019 - 19.06.2019FH Hörsaal 3 - MATH .
Thu14:00 - 16:0007.03.2019 - 13.06.2019FH Hörsaal 3 - MATH .
Mathematical Finance 1: Discrete-Time Models - Single appointments
DayDateTimeLocationDescription
Wed06.03.201914:00 - 16:00FH Hörsaal 3 - MATH .
Thu07.03.201914:00 - 16:00FH Hörsaal 3 - MATH .
Wed13.03.201914:00 - 16:00FH Hörsaal 3 - MATH .
Thu14.03.201914:00 - 16:00FH Hörsaal 3 - MATH .
Wed20.03.201914:00 - 16:00FH Hörsaal 3 - MATH .
Thu21.03.201914:00 - 16:00FH Hörsaal 3 - MATH .
Wed27.03.201914:00 - 16:00FH Hörsaal 3 - MATH .
Thu28.03.201914:00 - 16:00FH Hörsaal 3 - MATH .
Wed03.04.201914:00 - 16:00FH Hörsaal 3 - MATH .
Thu04.04.201914:00 - 16:00FH Hörsaal 3 - MATH .
Wed10.04.201914:00 - 16:00FH Hörsaal 3 - MATH .
Thu11.04.201914:00 - 16:00FH Hörsaal 3 - MATH .
Thu02.05.201914:00 - 16:00FH Hörsaal 3 - MATH .
Wed08.05.201914:00 - 16:00FH Hörsaal 3 - MATH .
Thu09.05.201914:00 - 16:00FH Hörsaal 3 - MATH .
Wed15.05.201914:00 - 16:00FH Hörsaal 3 - MATH .
Thu16.05.201914:00 - 16:00FH Hörsaal 3 - MATH .
Wed22.05.201914:00 - 16:00FH Hörsaal 3 - MATH .
Thu23.05.201914:00 - 16:00FH Hörsaal 3 - MATH .
Wed29.05.201914:00 - 16:00FH Hörsaal 3 - MATH .

Examination modalities

Written 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