Syllabus
Registration via LPIS
| Day | Date | Time | Room |
|---|---|---|---|
| Tuesday | 05/14/24 | 09:00 AM - 12:00 PM | TC.1.02 |
| Thursday | 05/16/24 | 02:00 PM - 04:00 PM | TC.1.01 OeNB |
| Tuesday | 05/21/24 | 09:00 AM - 12:00 PM | TC.1.02 |
| Thursday | 05/23/24 | 02:00 PM - 04:00 PM | TC.1.01 OeNB |
| Tuesday | 05/28/24 | 09:00 AM - 12:00 PM | TC.1.02 |
| Wednesday | 05/29/24 | 10:00 AM - 12:00 PM | TC.2.01 |
| Tuesday | 06/04/24 | 09:00 AM - 12:00 PM | TC.0.04 |
| Thursday | 06/06/24 | 02:00 PM - 04:00 PM | TC.1.01 OeNB |
| Tuesday | 06/11/24 | 09:00 AM - 12:00 PM | TC.1.02 |
| Thursday | 06/13/24 | 02:00 PM - 04:00 PM | TC.1.01 OeNB |
| Tuesday | 06/18/24 | 09:00 AM - 12:00 PM | TC.1.02 |
| Thursday | 06/20/24 | 02:00 PM - 04:00 PM | TC.1.01 OeNB |
| Tuesday | 06/25/24 | 10:00 AM - 12:00 PM | TC.3.03 |
This lecture discusses mathematical finance in discrete and continuous 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
Black Scholes formula and application
- Derivative pricing via replication in the Black Scholes model
- Risk neutral pricing
- Applications and "Greeks"
- (Very) basic numeric approaches for option pricing
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.
In line with WU regulations for lectures in PI format full attendance is required (at most one lecture can be missed)
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. There will be no retake optioon.
Exercises will be discussed during the tutorium (also additional exercises).
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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