Inhalt
[ 403MAMOFIMV22 ] VL Financial Mathematics
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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 |
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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.
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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 |
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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