105.035 Stoch. Analysis in Fin. and Acturarial Math.
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2006S, VO, 2.0h, 3.0EC

Properties

  • Semester hours: 2.0
  • Credits: 3.0
  • Type: VO Lecture

Aim of course

Introduction to mathematical theories, which are applied in financial and actuarial mathematics. Each chapter will be motivated and recent results will be presented.

Subject of course

Theorie of polish spaces, notions of convergence in pronbability theory, martingales in discrete and continuous time, Gaussian processes, Brownian motion, stochastic integration with respect to continuous semimartingales, Ito's formula, Girsanov's theorem, stochastic differential equations, Introduction to Malliavin Calculus, Clarc-Ocone Formula, Hoermander's theorem, Poisson process, general theory of stochastic processes, Levy-processes

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Mon10:00 - 11:3006.03.2006 - 29.06.2006FH Hörsaal 4 TEICHMANN
Stoch. Analysis in Fin. and Acturarial Math. - Single appointments
DayDateTimeLocationDescription
Mon06.03.200610:00 - 11:30FH Hörsaal 4 TEICHMANN
Mon13.03.200610:00 - 11:30FH Hörsaal 4 TEICHMANN
Mon20.03.200610:00 - 11:30FH Hörsaal 4 TEICHMANN
Mon27.03.200610:00 - 11:30FH Hörsaal 4 TEICHMANN
Mon03.04.200610:00 - 11:30FH Hörsaal 4 TEICHMANN
Mon10.04.200610:00 - 11:30FH Hörsaal 4 TEICHMANN
Mon17.04.200610:00 - 11:30FH Hörsaal 4 TEICHMANN
Mon24.04.200610:00 - 11:30FH Hörsaal 4 TEICHMANN
Mon01.05.200610:00 - 11:30FH Hörsaal 4 TEICHMANN
Mon08.05.200610:00 - 11:30FH Hörsaal 4 TEICHMANN
Mon15.05.200610:00 - 11:30FH Hörsaal 4 TEICHMANN
Mon22.05.200610:00 - 11:30FH Hörsaal 4 TEICHMANN
Mon29.05.200610:00 - 11:30FH Hörsaal 4 TEICHMANN
Mon05.06.200610:00 - 11:30FH Hörsaal 4 TEICHMANN
Mon12.06.200610:00 - 11:30FH Hörsaal 4 TEICHMANN
Mon19.06.200610:00 - 11:30FH Hörsaal 4 TEICHMANN
Mon26.06.200610:00 - 11:30FH Hörsaal 4 TEICHMANN

Examination modalities

oral exam

Course registration

Not necessary

Curricula

Study CodeObligationSemesterPrecon.Info
066 415 Actuarial Mathematics Not specified

Literature

Oksendal: Stochastic Differential Equations: An Introduction with Applications More literature will be told in the lecture.

Previous knowledge

probability theory, measure theory, analysis, linear algebra, functional analysis

Accompanying courses

Language

German