Inhalt
[ 201MMWWSP1U22 ] UE Special Topics Mathematical Methods in the Economic Sciences
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| (*) Unfortunately this information is not available in english. |
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| Workload |
Education level |
Study areas |
Responsible person |
Hours per week |
Coordinating university |
| 1,5 ECTS |
B3 - Bachelor's programme 3. year |
Mathematics |
Gerhard Larcher |
1 hpw |
Johannes Kepler University Linz |
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| Detailed information |
| Original study plan |
Bachelor's programme Technical Mathematics 2025W |
| Learning Outcomes |
Competences |
| This course is usually offered with the subtitle: Financial Mathematics II, but it can also be equipped with a different subtitle and different content (each from the field of financial mathematics or actuarial mathematics). In the case of the subtitle Financial Mathematics II, students should be able to analyze, evaluate, and optimize complex financial products and trading strategies using modern techniques from stochastic analysis and stochastic control theory.
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| Skills |
Knowledge |
- Master methods of stochastic analysis for the valuation of financial products
- Master methods of stochastic control theory for the optimization of trading strategies
- Apply complex models for modeling stock prices and interest rates
- Develop and implement hedging strategies
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Basic knowledge of stochastic analysis and stochastic control theory (HJB equations), the general Black-Scholes formula in complete markets (one- and multi-dimensional), hedging in complete markets, valuation approaches in incomplete markets, valuation of path-dependent options, the optimal consumption and investment problem, basic interest rate models, valuation of interest rate derivatives in basic interest rate models.
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| Criteria for evaluation |
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| Language |
English and French |
| Changing subject? |
Yes |
| Corresponding lecture |
(*)TM1WFUESPVF: UE Spezialvorlesung (1,5 ECTS)
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| Earlier variants |
They also cover the requirements of the curriculum (from - to)
201MMWWSP1U12: UE Special topics mathematical methods in the economic sciences (2012W-2022S)
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| On-site course |
| Maximum number of participants |
25 |
| Assignment procedure |
Direct assignment |
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