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105.035
Stoch. Analysis in Fin. and Actuarial Math.
2006S
2005W
2005S
2004W
2004S
2003W
2003S
2002W
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
Teichmann, Josef
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Course dates
Day
Time
Date
Location
Description
Mon
09:30 - 11:00
04.10.2004 - 27.01.2005
FH Hörsaal 2
TEICHMANN
Show single appointments
Stoch. Analysis in Fin. and Actuarial Math. - Single appointments
F
P
1
N
E
Day
Date
Time
Location
Description
Mon
04.10.2004
09:30 - 11:00
FH Hörsaal 2
TEICHMANN
Mon
11.10.2004
09:30 - 11:00
FH Hörsaal 2
TEICHMANN
Mon
18.10.2004
09:30 - 11:00
FH Hörsaal 2
TEICHMANN
Mon
25.10.2004
09:30 - 11:00
FH Hörsaal 2
TEICHMANN
Mon
01.11.2004
09:30 - 11:00
FH Hörsaal 2
TEICHMANN
Mon
08.11.2004
09:30 - 11:00
FH Hörsaal 2
TEICHMANN
Mon
15.11.2004
09:30 - 11:00
FH Hörsaal 2
TEICHMANN
Mon
22.11.2004
09:30 - 11:00
FH Hörsaal 2
TEICHMANN
Mon
29.11.2004
09:30 - 11:00
FH Hörsaal 2
TEICHMANN
Mon
06.12.2004
09:30 - 11:00
FH Hörsaal 2
TEICHMANN
Mon
13.12.2004
09:30 - 11:00
FH Hörsaal 2
TEICHMANN
Mon
20.12.2004
09:30 - 11:00
FH Hörsaal 2
TEICHMANN
Mon
27.12.2004
09:30 - 11:00
FH Hörsaal 2
TEICHMANN
Mon
03.01.2005
09:30 - 11:00
FH Hörsaal 2
TEICHMANN
Mon
10.01.2005
09:30 - 11:00
FH Hörsaal 2
TEICHMANN
Mon
17.01.2005
09:30 - 11:00
FH Hörsaal 2
TEICHMANN
Mon
24.01.2005
09:30 - 11:00
FH Hörsaal 2
TEICHMANN
F
P
1
N
E
Examination modalities
oral exam
Course registration
Not necessary
Curricula
Study Code
Obligation
Semester
Precon.
Info
No records found.
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
105.037 UE Stochastic Calculus in Financial and Actuarial Mathematics
Language
German