# 105.594 Mathematical Finance 1: Discrete-Time Models This course is in all assigned curricula part of the STEOP.\$(function(){PrimeFaces.cw("Tooltip","widget_j_id_21",{id:"j_id_21",showEffect:"fade",hideEffect:"fade",target:"isAllSteop"});});This course is in at least 1 assigned curriculum part of the STEOP.\$(function(){PrimeFaces.cw("Tooltip","widget_j_id_23",{id:"j_id_23",showEffect:"fade",hideEffect:"fade",target:"isAnySteop"});}); 2025S 2024S 2023S 2022S 2021S 2020S 2019S 2018S 2017S 2016S 2015S 2014S 2013S 2012S

2023S, VO, 4.0h, 6.0EC

## 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

Written

## Lecturers

• Yang, Junjian

## 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
Mon12:00 - 15:0030.09.2024FH Hörsaal 1 - MWB written01.01.2024 00:00 - 23.09.2024 23:59TISSPrüfung 2024S (Nebentermin)
Tue15:00 - 18:0004.03.2025FH Hörsaal 1 - MWB written01.01.2024 00:00 - 27.02.2024 23:59TISSPrüfung 2024S (letzter Termin)
Tue13:00 - 16:0024.06.2025FH Hörsaal 1 - MWB written01.04.2025 00:00 - 17.06.2025 23:59TISSPrüfung 2025S
Tue13:00 - 16:0030.09.2025FH Hörsaal 1 - MWB written01.07.2025 00:00 - 23.09.2025 23:59TISSPrüfung 2025S (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.

German