Inhalt
[ 403MAMOFIMV22 ] VL Financial Mathematics





Workload 
Education level 
Study areas 
Responsible person 
Hours per week 
Coordinating university 
4,5 ECTS 
M  Master's programme 
Mathematics 
Gerhard Larcher 
3 hpw 
Johannes Kepler University Linz 



Detailed information 
Original study plan 
Master's programme Industrial Mathematics 2024W 
Objectives 
To give an introduction to the main topics of modern financial mathematics and its applications.

Subject 
Basic financial products, financial derivatives, the noarbitrage principle, basic mathematical models in finance, valuation of options in binomial models, the BlackScholes formula, implicit volatility, hedging, pathdependent options, valuation of American options, Monte Carlomethods in finance.

Criteria for evaluation 
Written or oral examination

Methods 
Blackboard presentation

Language 
English 
Study material 
Gerhard Larcher, Quantitative Finance, SpringerGabler, 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 (2001W2022S)




Onsite course 
Maximum number of participants 
 
Assignment procedure 
Direct assignment 


