105.035 Stoch. Analysis in Fin. and Actuarial Math.

2004W, 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 probability 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
Mon09:30 - 11:0004.10.2004 - 27.01.2005FH Hörsaal 2 TEICHMANN
Stoch. Analysis in Fin. and Actuarial Math. - Single appointments
DayDateTimeLocationDescription
Mon04.10.200409:30 - 11:00FH Hörsaal 2 TEICHMANN
Mon11.10.200409:30 - 11:00FH Hörsaal 2 TEICHMANN
Mon18.10.200409:30 - 11:00FH Hörsaal 2 TEICHMANN
Mon25.10.200409:30 - 11:00FH Hörsaal 2 TEICHMANN
Mon01.11.200409:30 - 11:00FH Hörsaal 2 TEICHMANN
Mon08.11.200409:30 - 11:00FH Hörsaal 2 TEICHMANN
Mon15.11.200409:30 - 11:00FH Hörsaal 2 TEICHMANN
Mon22.11.200409:30 - 11:00FH Hörsaal 2 TEICHMANN
Mon29.11.200409:30 - 11:00FH Hörsaal 2 TEICHMANN
Mon06.12.200409:30 - 11:00FH Hörsaal 2 TEICHMANN
Mon13.12.200409:30 - 11:00FH Hörsaal 2 TEICHMANN
Mon20.12.200409:30 - 11:00FH Hörsaal 2 TEICHMANN
Mon27.12.200409:30 - 11:00FH Hörsaal 2 TEICHMANN
Mon03.01.200509:30 - 11:00FH Hörsaal 2 TEICHMANN
Mon10.01.200509:30 - 11:00FH Hörsaal 2 TEICHMANN
Mon17.01.200509:30 - 11:00FH Hörsaal 2 TEICHMANN
Mon24.01.200509:30 - 11:00FH Hörsaal 2 TEICHMANN

Examination modalities

oral exam

Course registration

Not necessary

Curricula

Study CodeObligationSemesterPrecon.Info
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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