Syllabus

Titel
4620 Mathematical Methods 2
LV-Leiter/innen
Univ.Prof. Dipl.Wirtsch.-Math.Dr. Birgit Rudloff
Kontakt
  • LV-Typ
    PI
  • Semesterstunden
    2
  • Unterrichtssprache
    Englisch
Anmeldung
15.03.2019 bis 27.04.2019
Anmeldung über LPIS
Hinweise zur LV
Planpunkt(e) Bachelor
Termine
Wochentag Datum Uhrzeit Raum
Dienstag 30.04.2019 09:00 - 11:00 TC.4.14
Donnerstag 02.05.2019 09:00 - 11:00 TC.4.18
Dienstag 07.05.2019 08:30 - 11:00 TC.3.06
Donnerstag 09.05.2019 09:00 - 11:00 TC.5.12
Dienstag 14.05.2019 08:30 - 11:00 TC.5.12
Donnerstag 16.05.2019 08:30 - 10:30 TC.5.04
Dienstag 21.05.2019 08:30 - 11:00 TC.5.12
Donnerstag 23.05.2019 09:00 - 11:00 TC.5.12
Dienstag 28.05.2019 08:30 - 11:00 TC.5.12
Donnerstag 13.06.2019 08:45 - 11:15 TC.4.03

Inhalte der LV

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

Lernergebnisse (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

Regelung zur Anwesenheit

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.

Lehr-/Lerndesign

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.

Leistung(en) für eine Beurteilung

  • 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%

 

Teilnahmevoraussetzung(en) und Vergabe von Wartelistenplätzen

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.

Literatur

1 Autor/in: Pierre Brémaud
Titel: An Introduction to Probabilistic Modeling

Verlag: Springer
Jahr: 1988
Art: Buch
2 Autor/in: Steven E. Shreve
Titel: Stochastic Calculus for Finance I -- The Binomial Asset Pricing Model

Verlag: Springer
Jahr: 2005
Art: Buch

Empfohlene inhaltliche Vorkenntnisse


Erreichbarkeit des/der Vortragenden

birgit.rudloff@wu.ac.at

Sonstiges

Course Readings:The material will be made available at Learn@WU.
Zuletzt bearbeitet: 02.10.2018



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