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[ 403MAMOFIMV22 ] VL Financial Mathematics
Versionsauswahl
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 2025W
Learning Outcomes
Competences
Students should be able to quantitatively analyze and evaluate basic financial products (such as stocks, bonds, interest rates) and derivative financial products (such as options and futures). Additionally, they should be able to apply basic modeling techniques for simulating financial prices.
Skills Knowledge
  • Determine and interpret technical parameters of various financial products
  • Apply the no-arbitrage principle
  • Explain the functionalities and uses of derivative financial products
  • Develop and apply basic pricing models (e.g., the binomial N-step model, geometric Brownian motion, etc.)
  • Price futures
  • Derive and apply the Black-Scholes formula for plain-vanilla options
  • Apply Markowitz portfolio optimization and critically interpret it
Properties of stocks, bonds, indices, technical parameters of various financial products, basics of interest-rates and compounding, the no-arbitrage principle, properties and types of options, futures, and general derivatives, the put/call parity equation, trend and volatility of financial products, the binomial one-step and N-step model, valuation of derivatives in binomial N-step models, the geometric Brownian motion model, the Black-Scholes formula for plain-vanilla options, properties of the fair price of plain-vanilla options, implied volatility, Greeks, hedging
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