4393 Mathematical Finance
Univ.Prof. Dr. Rüdiger Frey, Dipl.-Ing. Verena Köck, MSc (WU)
Weekly hours
Language of instruction
02/01/23 to 02/17/23
Registration via LPIS
Notes to the course
Day Date Time Room
Thursday 05/11/23 02:00 PM - 04:00 PM TC.1.01 OeNB
Tuesday 05/16/23 09:00 AM - 12:00 PM TC.0.03 WIENER STÄDTISCHE
Wednesday 05/17/23 10:00 AM - 12:00 PM D5.1.001
Tuesday 05/23/23 09:00 AM - 12:00 PM TC.0.10 Audimax
Thursday 05/25/23 02:00 PM - 04:00 PM TC.2.02
Tuesday 05/30/23 09:00 AM - 12:00 PM D5.1.001
Thursday 06/01/23 02:00 PM - 04:00 PM D5.1.001
Tuesday 06/06/23 09:00 AM - 12:00 PM TC.2.02
Tuesday 06/13/23 09:00 AM - 12:00 PM D5.1.001
Thursday 06/15/23 02:00 PM - 04:00 PM D5.1.001
Tuesday 06/20/23 09:00 AM - 12:00 PM D5.1.001
Thursday 06/22/23 02:00 PM - 04:00 PM D5.1.001
Tuesday 06/27/23 09:00 AM - 11:00 AM TC.2.01

This lecture discusses mathematical finance in discrete and ciontinuous time with a slight focus on the latter.  In particular we study the following topics

Discrete time models

  • Stochastic processes in discrete times and martingales
  • Discrete time mathematical finance
  • Optimal stopping and American options

Continuous time models

  • Brownian motion and its properties
  • Quadratic variation
  • Pathwise Ito calculus, elementary Ito integral and the Ito formula
  • Generators and Feynman Kac for one-dimensional diffusions
  • Derivative pricing via replication in the Black Scholes model

Black Scholes formula and application

  • Basic numeric approaches for option pricing
Learning outcomes

After completing this class the student will have the ability to:

• describe the basic concepts and methods of mathematical finance

• apply and do computational work with the basic concepts and definitions of discrete and continuous time finance.

After completing this class the student will also have the ability to:

• confidently apply ideas of mathematical time finance in doing analytical work for financial markets.

• solve applied problems where skills are required frommathematical  time finance.

Attendance requirements

In line with WU regulations for lectures in PI format  full attendance is required (at most one lecture can be missed)

Teaching/learning method(s)

The course consists of several parts: the on-site lecture , an on-site tutorium where exercises are discussed, solution of exercises in groups and self-study of the course material provided (slide, literature  and lecture notes)


Midterm Test 30% (written, on site)

Exercise Series (20%) (remote take home)

Final exam (50%)  (written, on site)

An an overall score of 50 % and a minimum score of 45% in the final is necessary for passing.

Exercises will be discussed during the tutorium (also additional exercises).

Prerequisites for participation and waiting lists

Students in the MAQFIN-14 curriculum who have not obtained a positive grade for CTF 1, can re-register for this respective course and attend it once again.


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Last edited: 2023-02-06