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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.
2011S
2010S
2009S
2008S
2007S
2006S
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
Scherrer, Wolfgang
Hubalek, Friedrich
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Course dates
Day
Time
Date
Location
Description
Tue
13:00 - 14:30
03.03.2009 - 10.03.2009
FH Hörsaal 6 - TPH
SCHERRER
Thu
13:00 - 14:00
05.03.2009 - 30.06.2009
EI 1 Petritsch HS
HUBALEK
Mon
14:00 - 16:00
16.03.2009 - 27.04.2009
EI 8 Pötzl HS - QUER
SCHERRER
Mon
14:00 - 16:00
04.05.2009 - 08.06.2009
FH 8 Nöbauer HS - MATH
SCHERRER
Mon
14:00 - 16:00
15.06.2009 - 29.06.2009
EI 8 Pötzl HS - QUER
SCHERRER
Show single appointments
Introduction to stochastic processes and time series analysis - Single appointments
F
P
1
2
N
E
Day
Date
Time
Location
Description
Tue
03.03.2009
13:00 - 14:30
FH Hörsaal 6 - TPH
SCHERRER
Thu
05.03.2009
13:00 - 14:00
EI 1 Petritsch HS
HUBALEK
Tue
10.03.2009
13:00 - 14:30
FH Hörsaal 6 - TPH
SCHERRER
Thu
12.03.2009
13:00 - 14:00
EI 1 Petritsch HS
HUBALEK
Mon
16.03.2009
14:00 - 16:00
EI 8 Pötzl HS - QUER
SCHERRER
Thu
19.03.2009
13:00 - 14:00
EI 1 Petritsch HS
HUBALEK
Mon
23.03.2009
14:00 - 16:00
EI 8 Pötzl HS - QUER
SCHERRER
Thu
26.03.2009
13:00 - 14:00
EI 1 Petritsch HS
HUBALEK
Mon
30.03.2009
14:00 - 16:00
EI 8 Pötzl HS - QUER
SCHERRER
Thu
02.04.2009
13:00 - 14:00
EI 1 Petritsch HS
HUBALEK
Mon
06.04.2009
14:00 - 16:00
EI 8 Pötzl HS - QUER
SCHERRER
Thu
09.04.2009
13:00 - 14:00
EI 1 Petritsch HS
HUBALEK
Mon
13.04.2009
14:00 - 16:00
EI 8 Pötzl HS - QUER
SCHERRER
Thu
16.04.2009
13:00 - 14:00
EI 1 Petritsch HS
HUBALEK
Mon
20.04.2009
14:00 - 16:00
EI 8 Pötzl HS - QUER
SCHERRER
Thu
23.04.2009
13:00 - 14:00
EI 1 Petritsch HS
HUBALEK
Mon
27.04.2009
14:00 - 16:00
EI 8 Pötzl HS - QUER
SCHERRER
Thu
30.04.2009
13:00 - 14:00
EI 1 Petritsch HS
HUBALEK
Mon
04.05.2009
14:00 - 16:00
FH 8 Nöbauer HS - MATH
SCHERRER
Thu
07.05.2009
13:00 - 14:00
EI 1 Petritsch HS
HUBALEK
F
P
1
2
N
E
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 Code
Obligation
Semester
Precon.
Info
033 203 Statistics and Mathematics in Economics
Mandatory
033 205 Financial and Actuarial Mathematics
Mandatory
4. Semester
033 215 Actuarial Mathematics
Mandatory
4. Semester
867 Statistics
Mandatory
Literature
No lecture notes are available.
Accompanying courses
105.121 UE Introduction to stochastic processes and time series
Miscellaneous
Course homepage
Language
German