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.
Syllabus
Titel
0495 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
01.09.2020 bis 30.09.2020
Anmeldung über LPIS
Hinweise zur LV
Planpunkt(e) Doktorat/PhD
Termine
| 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 |
Auf dieser Seite:
- Kontakt
- Ablauf der LV bei eingeschränktem Campusbetrieb
- Inhalte der LV
- Lernergebnisse (Learning Outcomes)
- Regelung zur Anwesenheit
- Lehr-/Lerndesign
- Leistung(en) für eine Beurteilung
- Empfohlene inhaltliche Vorkenntnisse
- Erreichbarkeit des/der Vortragenden
- Detailinformationen zu einzelnen Lehrveranstaltungseinheiten
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.
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
Attendance requirements will be decided on short notice, depending on the devlopment of the COvid 19 crisis
Lecture and homework assignments
Homework assignments (25%) course participation(5%) and an oral exam at the end (70%)
Probability theory equivalent to the lecture Probability in the Master Quantitative Finance at WU
via email, ruediger.frey[@]wu.ac.at
Zuletzt bearbeitet: 14.09.2020
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