105.090 Stochastic analysis in financial and actuarial mathematics 1

2007W, 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

Institute

Course dates

DayTimeDateLocationDescription
Mon13:00 - 14:3008.10.2007 - 02.02.2008FH Hörsaal 3 - MATH SCHACHERMAYER
Stochastic analysis in financial and actuarial mathematics 1 - Single appointments
DayDateTimeLocationDescription
Mon08.10.200713:00 - 14:30FH Hörsaal 3 - MATH SCHACHERMAYER
Mon15.10.200713:00 - 14:30FH Hörsaal 3 - MATH SCHACHERMAYER
Mon22.10.200713:00 - 14:30FH Hörsaal 3 - MATH SCHACHERMAYER
Mon29.10.200713:00 - 14:30FH Hörsaal 3 - MATH SCHACHERMAYER
Mon05.11.200713:00 - 14:30FH Hörsaal 3 - MATH SCHACHERMAYER
Mon12.11.200713:00 - 14:30FH Hörsaal 3 - MATH SCHACHERMAYER
Mon19.11.200713:00 - 14:30FH Hörsaal 3 - MATH SCHACHERMAYER
Mon26.11.200713:00 - 14:30FH Hörsaal 3 - MATH SCHACHERMAYER
Mon03.12.200713:00 - 14:30FH Hörsaal 3 - MATH SCHACHERMAYER
Mon10.12.200713:00 - 14:30FH Hörsaal 3 - MATH SCHACHERMAYER
Mon17.12.200713:00 - 14:30FH Hörsaal 3 - MATH SCHACHERMAYER
Mon24.12.200713:00 - 14:30FH Hörsaal 3 - MATH SCHACHERMAYER
Mon31.12.200713:00 - 14:30FH Hörsaal 3 - MATH SCHACHERMAYER
Mon07.01.200813:00 - 14:30FH Hörsaal 3 - MATH SCHACHERMAYER
Mon14.01.200813:00 - 14:30FH Hörsaal 3 - MATH SCHACHERMAYER
Mon21.01.200813:00 - 14:30FH Hörsaal 3 - MATH SCHACHERMAYER
Mon28.01.200813:00 - 14:30FH Hörsaal 3 - MATH SCHACHERMAYER

Examination modalities

oral exam

Course registration

Not necessary

Curricula

Study CodeObligationSemesterPrecon.Info
No records found.

Literature

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

Accompanying courses

Continuative courses

Language

German