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

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

• blackboard presentation
• discussion of examples in the applications

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