105.078 Introduction to stochastic processes and time series analysis

2008S, VO, 3.0h, 4.5EC

Properties

  • Semester hours: 3.0
  • Credits: 4.5
  • Type: VO Lecture

Aim of course

An introduction to stochastic processes and time series with a view towards the applications in finance and insurance.

Subject of course

Martingales in discrete time and elementary theorems; introcuction to processes in continuous time: Brownian motion; introduction to time series analysis: stationary processes (in discrete time), auto covariance function, ARMA processes, estimation and forecasting.

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Thu13:00 - 14:0006.03.2008 - 13.03.2008GM 3 Vortmann Hörsaal HUBALEK
Tue13:00 - 14:3011.03.2008EI 5 Hochenegg HS HUBALEK
Tue13:00 - 14:3001.04.2008 - 29.04.2008FH Hörsaal 6 - TPH HUBALEK
Thu13:00 - 14:0003.04.2008 - 24.04.2008EI 1 Petritsch HS HUBALEK
Tue13:00 - 14:3006.05.2008 - 24.06.2008Seminarraum Argentinierstrasse HUBALEK
Thu13:00 - 14:0008.05.2008 - 26.06.2008EI 1 Petritsch HS HUBALEK
Introduction to stochastic processes and time series analysis - Single appointments
DayDateTimeLocationDescription
Thu06.03.200813:00 - 14:00GM 3 Vortmann Hörsaal HUBALEK
Tue11.03.200813:00 - 14:30EI 5 Hochenegg HS HUBALEK
Thu13.03.200813:00 - 14:00GM 3 Vortmann Hörsaal HUBALEK
Tue01.04.200813:00 - 14:30FH Hörsaal 6 - TPH HUBALEK
Thu03.04.200813:00 - 14:00EI 1 Petritsch HS HUBALEK
Tue08.04.200813:00 - 14:30FH Hörsaal 6 - TPH HUBALEK
Thu10.04.200813:00 - 14:00EI 1 Petritsch HS HUBALEK
Tue15.04.200813:00 - 14:30FH Hörsaal 6 - TPH HUBALEK
Thu17.04.200813:00 - 14:00EI 1 Petritsch HS HUBALEK
Tue22.04.200813:00 - 14:30FH Hörsaal 6 - TPH HUBALEK
Thu24.04.200813:00 - 14:00EI 1 Petritsch HS HUBALEK
Tue29.04.200813:00 - 14:30FH Hörsaal 6 - TPH HUBALEK
Tue06.05.200813:00 - 14:30Seminarraum Argentinierstrasse HUBALEK
Thu08.05.200813:00 - 14:00EI 1 Petritsch HS HUBALEK
Tue13.05.200813:00 - 14:30Seminarraum Argentinierstrasse HUBALEK
Thu15.05.200813:00 - 14:00EI 1 Petritsch HS HUBALEK
Tue20.05.200813:00 - 14:30Seminarraum Argentinierstrasse HUBALEK
Thu22.05.200813:00 - 14:00EI 1 Petritsch HS HUBALEK
Tue27.05.200813:00 - 14:30Seminarraum Argentinierstrasse HUBALEK
Thu29.05.200813:00 - 14:00EI 1 Petritsch HS HUBALEK

Examination modalities

oral and written exam

Course registration

Not necessary

Curricula

Study CodeObligationSemesterPrecon.Info
No records found.

Literature

No lecture notes are available.

Accompanying courses

Continuative courses

Miscellaneous

Language

German