0495 Quantitative Methods
Assoz.Prof. PD Dr. Zehra Eksi-Altay, BSc.MSc., Univ.Prof. Dr. Rüdiger Frey
  • LV-Typ
  • Semesterstunden
  • Unterrichtssprache
01.09.2020 bis 30.09.2020
Anmeldung über LPIS
Hinweise zur LV
Planpunkt(e) Doktorat/PhD
Wochentag Datum Uhrzeit Raum
Donnerstag 22.10.2020 15:30 - 18:30 D4.0.019
Donnerstag 29.10.2020 14:00 - 17:00 D4.0.019
Donnerstag 05.11.2020 14:00 - 17:00 Online-Einheit
Donnerstag 12.11.2020 14:00 - 17:00 Online-Einheit
Donnerstag 19.11.2020 14:00 - 17:00 Online-Einheit
Donnerstag 26.11.2020 14:00 - 17:00 Online-Einheit
Donnerstag 03.12.2020 14:00 - 17:00 Online-Einheit
Donnerstag 10.12.2020 14:00 - 17:00 Online-Einheit

Ablauf der LV bei eingeschränktem Campusbetrieb

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.

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

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


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[@]
Zuletzt bearbeitet: 14.09.2020