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.

2023S, VO, 4.0h, 6.0EC
TUWEL

Properties

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

Learning outcomes

After successful completion of the course, students are able to

  • understand the basic of modern financial mathematics
  • understand the principle of no-arbitrage and its equivalent characterization
  • evaluate basic financial derivatives

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

Teaching methods

  • blackboard presentation
  • discussion of examples in the applications

Mode of examination

Written

Lecturers

  • Yang, Junjian

Institute

Course dates

DayTimeDateLocationDescription
Wed14:00 - 16:0001.03.2023 - 28.06.2023FH Hörsaal 3 - MATH VO Finanzmathematik 1: diskrete Modelle
Thu14:00 - 16:0002.03.2023 - 29.06.2023FH Hörsaal 3 - MATH VO Finanzmathematik 1: diskrete Modelle
Mathematical Finance 1: Discrete-Time Models - Single appointments
DayDateTimeLocationDescription
Wed01.03.202314:00 - 16:00FH Hörsaal 3 - MATH VO Finanzmathematik 1: diskrete Modelle
Thu02.03.202314:00 - 16:00FH Hörsaal 3 - MATH VO Finanzmathematik 1: diskrete Modelle
Wed08.03.202314:00 - 16:00FH Hörsaal 3 - MATH VO Finanzmathematik 1: diskrete Modelle
Thu09.03.202314:00 - 16:00FH Hörsaal 3 - MATH VO Finanzmathematik 1: diskrete Modelle
Wed15.03.202314:00 - 16:00FH Hörsaal 3 - MATH VO Finanzmathematik 1: diskrete Modelle
Thu16.03.202314:00 - 16:00FH Hörsaal 3 - MATH VO Finanzmathematik 1: diskrete Modelle
Wed22.03.202314:00 - 16:00FH Hörsaal 3 - MATH VO Finanzmathematik 1: diskrete Modelle
Thu23.03.202314:00 - 16:00FH Hörsaal 3 - MATH VO Finanzmathematik 1: diskrete Modelle
Wed29.03.202314:00 - 16:00FH Hörsaal 3 - MATH VO Finanzmathematik 1: diskrete Modelle
Thu30.03.202314:00 - 16:00FH Hörsaal 3 - MATH VO Finanzmathematik 1: diskrete Modelle
Wed19.04.202314:00 - 16:00FH Hörsaal 3 - MATH VO Finanzmathematik 1: diskrete Modelle
Thu20.04.202314:00 - 16:00FH Hörsaal 3 - MATH VO Finanzmathematik 1: diskrete Modelle
Wed26.04.202314:00 - 16:00FH Hörsaal 3 - MATH VO Finanzmathematik 1: diskrete Modelle
Thu27.04.202314:00 - 16:00FH Hörsaal 3 - MATH VO Finanzmathematik 1: diskrete Modelle
Wed03.05.202314:00 - 16:00FH Hörsaal 3 - MATH VO Finanzmathematik 1: diskrete Modelle
Thu04.05.202314:00 - 16:00FH Hörsaal 3 - MATH VO Finanzmathematik 1: diskrete Modelle
Wed10.05.202314:00 - 16:00FH Hörsaal 3 - MATH VO Finanzmathematik 1: diskrete Modelle
Thu11.05.202314:00 - 16:00FH Hörsaal 3 - MATH VO Finanzmathematik 1: diskrete Modelle
Wed17.05.202314:00 - 16:00FH Hörsaal 3 - MATH VO Finanzmathematik 1: diskrete Modelle
Wed24.05.202314:00 - 16:00FH Hörsaal 3 - MATH VO Finanzmathematik 1: diskrete Modelle

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

Begin End Deregistration end
31.12.2022 00:00 30.03.2023 23:59 30.03.2023 23:59

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