[ 403MAMOFIMV22 ] VL Financial Mathematics

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
Detailed information
Original study plan Master's programme Industrial Mathematics 2023W
Objectives To give an introduction to the main topics of modern financial mathematics and its applications.
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.
Criteria for evaluation Written or oral examination
Methods Blackboard presentation
Language English
Study material Gerhard Larcher, Quantitative Finance, Springer-Gabler, 2020 John C. Hull, Options, Futures, and Other Derivatives, Pearson, 2021
Changing subject? No
Earlier variants They also cover the requirements of the curriculum (from - to)
TMBPAVOFINA: VO Financial mathematics (2001W-2022S)
On-site course
Maximum number of participants -
Assignment procedure Direct assignment