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

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.

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

Zdzislaw Brzezniak and Tomasz Zastawniak. Basic Stochastic Processes. Springer, 200.

P. J. Brockwell and R. A. Davis. Introduction to time series analysis and forecasting. Springer, 2002.