105.661 AKFVM Implementation of stochastic methods in financial and actuarial mathematics
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2023W, VU, 2.0h, 3.0EC
TUWEL

Properties

  • Semester hours: 2.0
  • Credits: 3.0
  • Type: VU Lecture and Exercise
  • Format: Presence

Learning outcomes

After successful completion of the course, students are able to implement examples regarding banking and insurance business on their own in the programming languages Visual Basic for Applications (VBA) in Excel resp. R.

Subject of course

Selected Topics of financial and actuarial mathematics

Teaching methods

Explanations and programming

Mode of examination

Immanent

Additional information

Laptop with Microsoft Excel, R and RStudio necessary:

R-Installation https://cran.r-project.org/
RStudio https://www.rstudio.com/products/RStudio/

Achtung! Attention!Course is splitted to two semesters: 2022W und 2023W:

In winter term 2022 Dr. Martin Predota held the implementation in Excel/VBA.
In winter term 2023 Dr. Cetin Gülüm teaches the implementation in R.
Only those students who attend both parts can get a certificate.

The course should be held in winter term 2024 (and then every second year) again - with both parts (Excel/VBA *and* R) within one semester.

This semester's R-part can be attended from students who attended the Excel/VBA-part in winter term 2022 or who plan to attend the Excel/VBA-part in winter term 2024.

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Thu17:00 - 18:0005.10.2023 Online via Zoom: https://tuwien.zoom.us/j/62909606924?pwd=NWthY1pVcFBjenlmYkJocFMyMkp5Zz09 (LIVE)Vorbesprechung (hier soll vor allem über die Vorlesungzeiten diskutiert werden)
Mon17:00 - 19:0009.10.2023 - 18.12.2023Sem.R. DB gelb 05 A .
AKFVM Implementation of stochastic methods in financial and actuarial mathematics - Single appointments
DayDateTimeLocationDescription
Thu05.10.202317:00 - 18:00 Online via Zoom: https://tuwien.zoom.us/j/62909606924?pwd=NWthY1pVcFBjenlmYkJocFMyMkp5Zz09Vorbesprechung (hier soll vor allem über die Vorlesungzeiten diskutiert werden)
Mon09.10.202317:00 - 19:00Sem.R. DB gelb 05 A 17:30 Erster Termin beginnt später
Mon16.10.202317:00 - 19:00Sem.R. DB gelb 05 A .
Mon23.10.202317:00 - 19:00Sem.R. DB gelb 05 A .
Mon13.11.202317:00 - 19:00Sem.R. DB gelb 05 A .
Mon20.11.202317:00 - 19:00Sem.R. DB gelb 05 A .
Mon27.11.202317:00 - 19:00Sem.R. DB gelb 05 A .
Mon04.12.202317:00 - 19:00Sem.R. DB gelb 05 A .
Mon18.12.202317:00 - 19:00Sem.R. DB gelb 05 A .

Examination modalities

Participation and homework

Course registration

Begin End Deregistration end
28.06.2023 00:00 20.10.2023 23:59 30.10.2023 23:59

Registration modalities

Ideale Voraussetzung für die Teilnahme sind Kenntnisse der Vorlesung:

"Finanzmärkte, Finanzintermediation und Kapitalanlage (105.636)" [bzw. der Vorgängervorlesung: "Finanzmärkte und Finanzintermediation (105.119)"]

sowie von Basisvorlesungen aus Finanz- und Versicherungsmathematik.

Wer die Anmeldekriterien nicht erfüllt, bitte direkt bei Sandra (FAM-office) melden: 01-58801-10511, fam@fam.tuwien.ac.at

Precondition

The student must have at least 4 of the course(s) completed listed below:

Curricula

Study CodeObligationSemesterPrecon.Info
860 GW Optional Courses - Technical Mathematics Not specified

Literature

No lecture notes are available.

Previous knowledge

Empfohlene Lehrveranstaltungen:

  • Lebensversicherungsmathematik
  • Finanzmathematik 1
  • Risikomanagement im Finanz- und Versicherungswesen
  • Finanzmärkte, Finanzintermediation und Kapitalanlage
  • (AKFVM Gesamtbanksteuerung unter Basel III)

Miscellaneous

  • Attendance Required!

Language

German