Inhalt
[ 403MAMOFIMV22 ] VL (*)Financial Mathematics
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| (*) Leider ist diese Information in Deutsch nicht verfügbar. |
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| Workload |
Ausbildungslevel |
Studienfachbereich |
VerantwortlicheR |
Semesterstunden |
Anbietende Uni |
| 4,5 ECTS |
M - Master |
Mathematik |
Gerhard Larcher |
3 SSt |
Johannes Kepler Universität Linz |
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| Detailinformationen |
| Quellcurriculum |
Masterstudium Industrial Mathematics 2025W |
| Lernergebnisse |
Kompetenzen |
| (*)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.
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| Fertigkeiten |
Kenntnisse |
(*)- 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
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(*)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
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| Beurteilungskriterien |
(*)Written or oral examination
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| Lehrmethoden |
(*)Blackboard presentation
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| Abhaltungssprache |
Englisch |
| Literatur |
(*)Gerhard Larcher, Quantitative Finance, Springer-Gabler, 2020
John C. Hull, Options, Futures, and Other Derivatives, Pearson, 2021
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| Lehrinhalte wechselnd? |
Nein |
| Frühere Varianten |
Decken ebenfalls die Anforderungen des Curriculums ab (von - bis)
TMBPAVOFINA: VO Finanzmathematik (2001W-2022S)
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| Präsenzlehrveranstaltung |
| Teilungsziffer |
- |
| Zuteilungsverfahren |
Direktzuteilung |
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