105.078 Introduction to stochastic processes and time series analysis
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2009S, VO, 3.0h, 4.0EC

Properties

  • Semester hours: 3.0
  • Credits: 4.0
  • 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
Tue13:00 - 14:3003.03.2009 - 10.03.2009FH Hörsaal 6 - TPH SCHERRER
Thu13:00 - 14:0005.03.2009 - 30.06.2009EI 1 Petritsch HS HUBALEK
Mon14:00 - 16:0016.03.2009 - 27.04.2009EI 8 Pötzl HS - QUER SCHERRER
Mon14:00 - 16:0004.05.2009 - 08.06.2009FH 8 Nöbauer HS - MATH SCHERRER
Mon14:00 - 16:0015.06.2009 - 29.06.2009EI 8 Pötzl HS - QUER SCHERRER
Introduction to stochastic processes and time series analysis - Single appointments
DayDateTimeLocationDescription
Tue03.03.200913:00 - 14:30FH Hörsaal 6 - TPH SCHERRER
Thu05.03.200913:00 - 14:00EI 1 Petritsch HS HUBALEK
Tue10.03.200913:00 - 14:30FH Hörsaal 6 - TPH SCHERRER
Thu12.03.200913:00 - 14:00EI 1 Petritsch HS HUBALEK
Mon16.03.200914:00 - 16:00EI 8 Pötzl HS - QUER SCHERRER
Thu19.03.200913:00 - 14:00EI 1 Petritsch HS HUBALEK
Mon23.03.200914:00 - 16:00EI 8 Pötzl HS - QUER SCHERRER
Thu26.03.200913:00 - 14:00EI 1 Petritsch HS HUBALEK
Mon30.03.200914:00 - 16:00EI 8 Pötzl HS - QUER SCHERRER
Thu02.04.200913:00 - 14:00EI 1 Petritsch HS HUBALEK
Mon06.04.200914:00 - 16:00EI 8 Pötzl HS - QUER SCHERRER
Thu09.04.200913:00 - 14:00EI 1 Petritsch HS HUBALEK
Mon13.04.200914:00 - 16:00EI 8 Pötzl HS - QUER SCHERRER
Thu16.04.200913:00 - 14:00EI 1 Petritsch HS HUBALEK
Mon20.04.200914:00 - 16:00EI 8 Pötzl HS - QUER SCHERRER
Thu23.04.200913:00 - 14:00EI 1 Petritsch HS HUBALEK
Mon27.04.200914:00 - 16:00EI 8 Pötzl HS - QUER SCHERRER
Thu30.04.200913:00 - 14:00EI 1 Petritsch HS HUBALEK
Mon04.05.200914:00 - 16:00FH 8 Nöbauer HS - MATH SCHERRER
Thu07.05.200913:00 - 14:00EI 1 Petritsch HS HUBALEK

Examination modalities

oral and written exam The written exam can be taken at one of three dates during the semester. Dates and details can be found here: http://www.fam.tuwien.ac.at/lehre/pr/index.php

Course registration

Not necessary

Curricula

Study CodeObligationSemesterPrecon.Info
033 203 Statistics and Mathematics in Economics Mandatory
033 205 Financial and Actuarial Mathematics Mandatory4. Semester
033 215 Actuarial Mathematics Mandatory4. Semester
867 Statistics Mandatory

Literature

No lecture notes are available.

Accompanying courses

Miscellaneous

Language

German