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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
2010S, 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
Mon
14:30 - 15:45
08.03.2010 - 30.06.2010
FH Hörsaal 7 - GEO
SCHERRER
Tue
14:30 - 15:45
09.03.2010 - 30.06.2010
FH Hörsaal 7 - GEO
SCHERRER
Show single appointments
Introduction to stochastic processes and time series analysis - Single appointments
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P
1
2
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E
Day
Date
Time
Location
Description
Mon
08.03.2010
14:30 - 15:45
FH Hörsaal 7 - GEO
SCHERRER
Tue
09.03.2010
14:30 - 15:45
FH Hörsaal 7 - GEO
SCHERRER
Mon
15.03.2010
14:30 - 15:45
FH Hörsaal 7 - GEO
SCHERRER
Tue
16.03.2010
14:30 - 15:45
FH Hörsaal 7 - GEO
SCHERRER
Mon
22.03.2010
14:30 - 15:45
FH Hörsaal 7 - GEO
SCHERRER
Tue
23.03.2010
14:30 - 15:45
FH Hörsaal 7 - GEO
SCHERRER
Mon
29.03.2010
14:30 - 15:45
FH Hörsaal 7 - GEO
SCHERRER
Tue
30.03.2010
14:30 - 15:45
FH Hörsaal 7 - GEO
SCHERRER
Mon
05.04.2010
14:30 - 15:45
FH Hörsaal 7 - GEO
SCHERRER
Tue
06.04.2010
14:30 - 15:45
FH Hörsaal 7 - GEO
SCHERRER
Mon
12.04.2010
14:30 - 15:45
FH Hörsaal 7 - GEO
SCHERRER
Tue
13.04.2010
14:30 - 15:45
FH Hörsaal 7 - GEO
SCHERRER
Mon
19.04.2010
14:30 - 15:45
FH Hörsaal 7 - GEO
SCHERRER
Tue
20.04.2010
14:30 - 15:45
FH Hörsaal 7 - GEO
SCHERRER
Mon
26.04.2010
14:30 - 15:45
FH Hörsaal 7 - GEO
SCHERRER
Tue
27.04.2010
14:30 - 15:45
FH Hörsaal 7 - GEO
SCHERRER
Mon
03.05.2010
14:30 - 15:45
FH Hörsaal 7 - GEO
SCHERRER
Tue
04.05.2010
14:30 - 15:45
FH Hörsaal 7 - GEO
SCHERRER
Mon
10.05.2010
14:30 - 15:45
FH Hörsaal 7 - GEO
SCHERRER
Tue
11.05.2010
14:30 - 15:45
FH Hörsaal 7 - GEO
SCHERRER
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