Syllabus

Title
4620 Mathematical Methods 2
Instructors
Univ.Prof. Dipl.Wirtsch.-Math.Dr. Birgit Rudloff
Contact details
birgit.rudloff@wu.ac.at
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
Elective Course II - Mathematical Methods
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

On this page:

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

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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.
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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

Grading key:

1:  >= 86%

2:  >= 74%

3:  >= 62%

4:  >= 50%

5:  < 50%

 

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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.
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Readings
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
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Recommended previous knowledge and skills

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Availability of lecturer(s)

birgit.rudloff@wu.ac.at

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Other
Course Readings:The material will be made available at Learn@WU.
Last edited: 2018-10-02



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