Syllabus

Title
0753 Quantitative Methods
Instructors
Univ.Prof. Dr. Rüdiger Frey
Contact details
Type
PI
Weekly hours
2
Language of instruction
Englisch
Registration
09/01/15 to 09/30/15
Registration via LPIS
Notes to the course
Dates
Day Date Time Room
Wednesday 10/14/15 09:00 AM - 11:00 AM D4.4.008
Wednesday 10/21/15 09:00 AM - 12:00 PM D4.4.008
Wednesday 10/28/15 09:00 AM - 12:00 PM D4.4.008
Wednesday 11/04/15 09:00 AM - 12:00 PM D4.4.008
Wednesday 11/11/15 09:00 AM - 12:00 PM D4.4.141
Wednesday 11/18/15 09:00 AM - 12:00 PM D4.4.008
Wednesday 11/25/15 09:00 AM - 12:00 PM D4.4.008
Wednesday 12/02/15 09:00 AM - 12:00 PM D4.4.008
Wednesday 12/09/15 09:00 AM - 12:00 PM D4.4.008
Wednesday 12/16/15 09:00 AM - 12:00 PM D4.4.141
Contents
The course gives an introduction to themathematical techniques needed for quantitative finance and derivative asset analysis.

The course consists of two parts.

Part 1: Mathematical Finance in Discrete Time: The model, selffinancing strategies and arbitrage, martingales, fundamental theorem of asset prices, binomial model and convergence to Black Scholes, American optionsand optimal stopping,. This part will also contain a revision of the necessary tools from probability theory such as
conditional expectations.

Part 2: Basics of Continuous-Time Finance: Stochastic processes and stopping times, Brownian motion, quadratic variation, pathwise Ito calculus, Black Scholes model, PDE approach to derivative pricing.

Learning outcomes
Basic skills in quantitative finance and derivative asset analysis.
Teaching/learning method(s)


Assessment
Homework assignments, course participation  and an oral exam at the end

Recommended previous knowledge and skills
Reasonable background in probability theory comparable to the course Probability in the mazter Quantitative Finance at WU. 
Availability of lecturer(s)
ruediger.frey[]wu.ac.at
Other
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Last edited: 2015-06-16



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