Syllabus

Titel
0570 Quantitative Methods
LV-Leiter/innen
Assoz.Prof. PD Dr. Zehra Eksi-Altay, BSc.MSc., Univ.Prof. Dr. Rüdiger Frey
Kontakt
  • LV-Typ
    PI
  • Semesterstunden
    2
  • Unterrichtssprache
    Englisch
Anmeldung
02.09.2019 bis 30.09.2019
Anmeldung über LPIS
Hinweise zur LV
Planpunkt(e) Doktorat/PhD
Termine
Wochentag Datum Uhrzeit Raum
Donnerstag 10.10.2019 15:00 - 18:00 D4.4.008
Donnerstag 17.10.2019 15:00 - 18:00 D4.4.008
Donnerstag 24.10.2019 15:00 - 18:00 D4.4.008
Donnerstag 31.10.2019 15:00 - 18:00 D4.4.008
Donnerstag 07.11.2019 15:00 - 18:00 D4.4.008
Donnerstag 14.11.2019 15:00 - 18:00 D4.4.008
Donnerstag 21.11.2019 15:00 - 18:00 D4.4.008
Donnerstag 28.11.2019 15:00 - 18:00 D4.4.008

Inhalte der LV

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, HJB equation and stochastic control.

Lernergebnisse (Learning Outcomes)

After the lecture the participants will be familiar with basic concepts in continuous time finance. In particular, they will have the necessary skills to read scientific literature on continuous time models in finance and economics 

Regelung zur Anwesenheit

A full attendance requirement applies.

Lehr-/Lerndesign

Lecture and homework assignments

Leistung(en) für eine Beurteilung

Homework assignments (25%) course participation(5%)  and an oral exam at the end (70%)

Empfohlene inhaltliche Vorkenntnisse

Probability theory equivalent to the lecture Probability in the Master Quantitative Finance at WU

Erreichbarkeit des/der Vortragenden

via email, ruediger.frey[@]wu.ac.at
Zuletzt bearbeitet: 23.06.2019



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