Syllabus

Title
0496 Y2E Continuous Time Finance 2
Instructors
Univ.Prof. Dr. Rüdiger Frey
Contact details
  • Type
    PI
  • Weekly hours
    2
  • Language of instruction
    Englisch
Registration
09/01/21 to 09/24/21
Registration via LPIS
Notes to the course
Subject(s) Master Programs
Dates
Day Date Time Room
Tuesday 11/23/21 02:00 PM - 05:00 PM Online-Einheit
Monday 11/29/21 02:00 PM - 05:00 PM Online-Einheit
Monday 12/06/21 02:00 PM - 05:00 PM Online-Einheit
Monday 12/13/21 02:00 PM - 05:00 PM Online-Einheit
Monday 12/20/21 02:00 PM - 05:00 PM Online-Einheit
Monday 01/10/22 02:00 PM - 05:00 PM D1.1.074
Monday 01/17/22 02:00 PM - 05:00 PM D1.1.074
Monday 01/24/22 02:00 PM - 05:00 PM TC.4.05

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 final  part of the lecture we will give an introduction to term-structure modelling and to stochastic optimization.

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).

Attendance requirements

Full attendance is compulsory. This means that students should attend at least 80% of all lectures, at most one lecture can be missed.

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). 

Assessment

  • 45% final  exam (format tbd)
  • 30% completion of work sheets (remote take home)
  • 25% presentation

Passing the  final examination is necessary to pass the course.

Prerequisites for participation and waiting lists

Fulfillment of the Specific Requirements for Admission to Courses and Examinations defined in the curriculum

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 )


Recommended previous knowledge and skills

Successful completion of the class Continuous Time Finance 1

Availability of lecturer(s)

ruediger.frey@wu.ac.at
Last edited: 2021-09-06



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