Syllabus

Title
0551 Y2E Continuous Time Finance 2
Instructors
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 09/25/20
Registration via LPIS
Notes to the course
Subject(s) Master Programs
Elective - Continuous Time Finance II
Dates
Day Date Time Room
Monday 11/23/20 02:00 PM - 05:00 PM Online-Einheit
Monday 11/30/20 02:00 PM - 05:00 PM Online-Einheit
Monday 12/07/20 02:00 PM - 05:00 PM Online-Einheit
Monday 12/14/20 02:00 PM - 05:00 PM Online-Einheit
Monday 12/21/20 02:00 PM - 05:00 PM Online-Einheit
Monday 01/11/21 02:00 PM - 05:00 PM TC.4.15
Monday 01/18/21 02:00 PM - 05:00 PM TC.4.15
Monday 01/25/21 02:00 PM - 05:00 PM Online-Einheit

On this page:

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Procedure for the course when limited activity on campus

Distance mode; examination as remote take-home exam (assignments), a presentation and an oral final exam

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Contents
In this lecture the students will deepen their understanding of various aspects of continuous-time models in financial mathematics. In the first part of the lecture we will take a deeper look at the underlying tools from stochastic calculus. In particular we will discuss stochastic integration  and the Girsanov theorem.  These concepts will then be applied to study derivative asset analysis in generalized Black-Scholes models. In the second part of the lecture we will give an introduction to term-structure modelling or to stochastic optimization (depending on the interests of the participants).
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Learning outcomes

This course deepens the understanding of continuous-time finance and it  covers a number of advanced topics of Continuous Time Finance.

The aim of this course is to:

  • obtain a basic understanding of the main topics, such as stochastic calculus for Brownian motion, financial mathematics in continuous time and applications
  • understand and describe the properties of competing term-structure models, change of numéraire techniques and basic stochastic control.

 

After completing this course the student will also:

 

  • have deepened his/her ability for teamwork
  • be able to formulate essential problems of CTF 2 and propose possible solutions in a precise way (that is in a mathematical rigorous way. This skill is different from a purely intuitive understanding of the topics of this course).
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Attendance requirements

No formal attendence requirements due to uncertain Covid situation

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Teaching/learning method(s)

This course is taught as a lecture accompanied by homework assignments (worked out in a team of 2-3 people and shortly discussed/presented in the lecture). 
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Assessment
  • 45% final  exam (oral)
  • 35% completion of work sheets (remote take home)
  • 20% presentation

Passing the oral final examination is necessary to pass the course.

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Readings
1 Author: [S] Shreve
Title: Stochastic Calculus for Finance II: Continuous- Time Models

Publisher: Springer
Remarks: Springer Finance
Year: 2004
2 Author: [B] Björk, T.
Title: Arbitrage Theory in Continuous Time

Publisher: Oxford University Press
Year: 2004
3 Author: Frey Rüdiger
Title:

Lecture Notes Continuous-Time Finance

(will be available from Learn@WU )


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Prerequisites for participation and waiting lists
Fulfillment of the Specific Requirements for Admission to Courses and Examinations defined in the curriculum
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Recommended previous knowledge and skills
Successful completion of the class Continuous Time Finance 1
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Availability of lecturer(s)
ruediger.frey@wu.ac.at
Last edited: 2020-11-20



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