Syllabus

Title
4620 Mathematical Methods 2
Instructors
Univ.Prof. Dipl.Wirtsch.-Math.Dr. Birgit Rudloff
Contact details
Type
PI
Weekly hours
2
Language of instruction
Englisch
Registration
03/15/19 to 04/27/19
Registration via LPIS
Notes to the course
Subject(s) Bachelor Programs
Dates
Day Date Time Room
Tuesday 04/30/19 09:00 AM - 11:00 AM TC.4.14
Thursday 05/02/19 09:00 AM - 11:00 AM TC.4.18
Tuesday 05/07/19 08:30 AM - 11:00 AM TC.3.06
Thursday 05/09/19 09:00 AM - 11:00 AM TC.5.12
Tuesday 05/14/19 08:30 AM - 11:00 AM TC.5.12
Thursday 05/16/19 08:30 AM - 10:30 AM TC.5.04
Tuesday 05/21/19 08:30 AM - 11:00 AM TC.5.12
Thursday 05/23/19 09:00 AM - 11:00 AM TC.5.12
Tuesday 05/28/19 08:30 AM - 11:00 AM TC.5.12
Thursday 06/13/19 08:45 AM - 11:15 AM TC.4.03

Contents
The course covers the following topics:
• Discrete probability: basic concepts and elementary models, conditional expectation, martingales
• The binomial asset pricing model
Learning outcomes

After completing this class the student will have the ability to:

• describe and apply the basic concepts of discrete probability
• describe and apply the binomial asset pricing model
Attendance requirements

Students should be present in class. Homework solutions will be presented in class, up to twice not being present when randomly chosen to present homework is acceptable.

Teaching/learning method(s)
The class is mainly taught as a combination of lectures and exercises with homework assignments. Students present their solutions which will be discussed in the group.The course also serves as a preparation for some of the mathematics lectures of the Master in Quantitative Finance curriculum.
Assessment
• 2 written tests (midterm weights 30%, final weights 40% of the final grade)
• homework assignments (30% of the final grade) , students will be asked to present their solutions in the class, presentation of the solutions is also counted towards the grade

1:  >= 86%

2:  >= 74%

3:  >= 62%

4:  >= 50%

5:  < 50%

Prerequisites for participation and waiting lists
Having participated in the course "Mathematical Methods 1 -- Mathematische Grundlagen" is an advantage, but it is NOT a prerequisite for this course. The materials from "Mathematical Methods 1 -- Mathematische Grundlagen" will be made available.
1 Author: Pierre Brémaud
 Title: An Introduction to Probabilistic Modeling

Publisher: Springer
Year: 1988
Type: Book
2 Author: Steven E. Shreve
 Title: Stochastic Calculus for Finance I -- The Binomial Asset Pricing Model

Publisher: Springer
Year: 2005
Type: Book
Recommended previous knowledge and skills

Availability of lecturer(s)

birgit.rudloff@wu.ac.at

Other