Inhalt
[ 403MAMOFIMV22 ] VL Financial Mathematics
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| Es ist eine neuere Version 2023W dieser LV im Curriculum Master's programme Computational Mathematics 2023W vorhanden. |
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| Workload |
Education level |
Study areas |
Responsible person |
Hours per week |
Coordinating university |
| 4,5 ECTS |
M1 - Master's programme 1. year |
Mathematics |
Gerhard Larcher |
3 hpw |
Johannes Kepler University Linz |
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| Detailed information |
| Original study plan |
Master's programme Industrial Mathematics 2022W |
| Objectives |
To give an introduction to the main topics of modern financial mathematics and its applications.
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| Subject |
Basic financial products, financial derivatives, the no-arbitrage principle, basic mathematical models in finance, valuation of options in binomial models, the Black-Scholes formula, implicit volatility, hedging, path-dependent options, valuation of American options, Monte Carlo-methods in finance.
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| Criteria for evaluation |
Written or oral examination
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| Methods |
Blackboard presentation
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| Language |
English |
| Study material |
Gerhard Larcher, Quantitative Finance, Springer-Gabler, 2020
John C. Hull, Options, Futures, and Other Derivatives, Pearson, 2021
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| Changing subject? |
No |
| Further information |
Until term 2022S known as: TMBPAVOFINA Financial mathematics
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| Earlier variants |
They also cover the requirements of the curriculum (from - to)
TMBPAVOFINA: VO Financial mathematics (2001W-2022S)
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| On-site course |
| Maximum number of participants |
- |
| Assignment procedure |
Direct assignment |
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