Syllabus

Title
0495 Quantitative Methods
Instructors
Assoz.Prof. PD Dr. Zehra Eksi-Altay, BSc.MSc., Univ.Prof. Dr. Rüdiger Frey
Contact details
ruediger.frey@wu.ac.at
Type
PI
Weekly hours
2
Language of instruction
Englisch
Registration
09/01/20 to 09/30/20
Registration via LPIS
Notes to the course
Subject(s) Doctoral/PhD Programs
Quantitative Methods
Research Methods
Methodology and Theory
Dates
Day Date Time Room
Thursday 10/22/20 03:30 PM - 06:30 PM D4.0.019
Thursday 10/29/20 02:00 PM - 05:00 PM D4.0.019
Thursday 11/05/20 02:00 PM - 05:00 PM Online-Einheit
Thursday 11/12/20 02:00 PM - 05:00 PM Online-Einheit
Thursday 11/19/20 02:00 PM - 05:00 PM Online-Einheit
Thursday 11/26/20 02:00 PM - 05:00 PM Online-Einheit
Thursday 12/03/20 02:00 PM - 05:00 PM Online-Einheit
Thursday 12/10/20 02:00 PM - 05:00 PM Online-Einheit

On this page:

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Procedure for the course when limited activity on campus

In case that the course cannot not be held in the class room, the course will be switched to distance learning. Exams can be organized as oral exam via teams , assignments are anyhow remote take home exams.

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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, HJB equation and stochastic control.

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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 
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Attendance requirements

Attendance requirements will be decided on short notice, depending on the devlopment of the COvid 19 crisis

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Teaching/learning method(s)
Lecture and homework assignments
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Assessment
Homework assignments (25%) course participation(5%)  and an oral exam at the end (70%)
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Recommended previous knowledge and skills
Probability theory equivalent to the lecture Probability in the Master Quantitative Finance at WU
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Availability of lecturer(s)
via email, ruediger.frey[@]wu.ac.at
Last edited: 2020-09-14



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