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.

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

Institute

Course dates

DayTimeDateLocationDescription
Mon14:30 - 15:4508.03.2010 - 30.06.2010FH Hörsaal 7 - GEO SCHERRER
Tue14:30 - 15:4509.03.2010 - 30.06.2010FH Hörsaal 7 - GEO SCHERRER
Introduction to stochastic processes and time series analysis - Single appointments
DayDateTimeLocationDescription
Mon08.03.201014:30 - 15:45FH Hörsaal 7 - GEO SCHERRER
Tue09.03.201014:30 - 15:45FH Hörsaal 7 - GEO SCHERRER
Mon15.03.201014:30 - 15:45FH Hörsaal 7 - GEO SCHERRER
Tue16.03.201014:30 - 15:45FH Hörsaal 7 - GEO SCHERRER
Mon22.03.201014:30 - 15:45FH Hörsaal 7 - GEO SCHERRER
Tue23.03.201014:30 - 15:45FH Hörsaal 7 - GEO SCHERRER
Mon29.03.201014:30 - 15:45FH Hörsaal 7 - GEO SCHERRER
Tue30.03.201014:30 - 15:45FH Hörsaal 7 - GEO SCHERRER
Mon05.04.201014:30 - 15:45FH Hörsaal 7 - GEO SCHERRER
Tue06.04.201014:30 - 15:45FH Hörsaal 7 - GEO SCHERRER
Mon12.04.201014:30 - 15:45FH Hörsaal 7 - GEO SCHERRER
Tue13.04.201014:30 - 15:45FH Hörsaal 7 - GEO SCHERRER
Mon19.04.201014:30 - 15:45FH Hörsaal 7 - GEO SCHERRER
Tue20.04.201014:30 - 15:45FH Hörsaal 7 - GEO SCHERRER
Mon26.04.201014:30 - 15:45FH Hörsaal 7 - GEO SCHERRER
Tue27.04.201014:30 - 15:45FH Hörsaal 7 - GEO SCHERRER
Mon03.05.201014:30 - 15:45FH Hörsaal 7 - GEO SCHERRER
Tue04.05.201014:30 - 15:45FH Hörsaal 7 - GEO SCHERRER
Mon10.05.201014:30 - 15:45FH Hörsaal 7 - GEO SCHERRER
Tue11.05.201014:30 - 15:45FH Hörsaal 7 - GEO SCHERRER

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