105.090 AKVFM Stochastic analysis in financial and actuarial mathematics 1

2006W, VO, 2.0h, 3.0EC

Properties

Semester hours: 2.0
Credits: 3.0
Type: VO Lecture

Aim of course

Introduction to mathematical theories, which are applied in financial and actuarial mathematics. Each chapter will be motivated and recent results will be presented.

Subject of course

Theorie of polish spaces, notions of convergence in pronbability theory, martingales in discrete and continuous time, Gaussian processes, Brownian motion, stochastic integration with respect to continuous semimartingales, Ito's formula, Girsanov's theorem, stochastic differential equations, Introduction to Malliavin Calculus, Clarc-Ocone Formula, Hoermander's theorem, Poisson process, general theory of stochastic processes, Levy-processes

Lecturers

Teichmann, Josef

Institute

E105 Institute of Statistics and Mathematical Methods in Economics

Course dates

Day	Time	Date	Location	Description
Mon	13:00 - 14:30	09.10.2006 - 25.01.2007	FH Hörsaal 3 - MATH	TEICHMANN

Show single appointments

AKVFM Stochastic analysis in financial and actuarial mathematics 1 - Single appointments

Day	Date	Time	Location	Description
Mon	09.10.2006	13:00 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Mon	16.10.2006	13:00 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Mon	23.10.2006	13:00 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Mon	30.10.2006	13:00 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Mon	06.11.2006	13:00 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Mon	13.11.2006	13:00 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Mon	20.11.2006	13:00 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Mon	27.11.2006	13:00 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Mon	04.12.2006	13:00 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Mon	11.12.2006	13:00 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Mon	18.12.2006	13:00 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Mon	25.12.2006	13:00 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Mon	01.01.2007	13:00 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Mon	08.01.2007	13:00 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Mon	15.01.2007	13:00 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Mon	22.01.2007	13:00 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN

Examination modalities

oral exam

Course registration

Not necessary

Curricula

Study Code	Obligation	Semester	Precon.	Info
No records found.

Literature

Oksendal: Stochastic Differential Equations: An Introduction with Applications More literature will be told in the lecture.

Accompanying courses

105.089 UE Stochastic analysis in financial and actuarial mathematics 1

Continuative courses

105.091 VO Stochastic analysis in financial and actuarial mathematics 2

Language

German

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