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105.090
Stochastic analysis in financial and actuarial mathematics 1
2011W
2010W
2009W
2008W
2007W
2006W
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
Schachermayer, Walter
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Course dates
Day
Time
Date
Location
Description
Mon
13:00 - 14:30
08.10.2007 - 02.02.2008
FH Hörsaal 3 - MATH
SCHACHERMAYER
Show single appointments
Stochastic analysis in financial and actuarial mathematics 1 - Single appointments
F
P
1
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E
Day
Date
Time
Location
Description
Mon
08.10.2007
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHACHERMAYER
Mon
15.10.2007
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHACHERMAYER
Mon
22.10.2007
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHACHERMAYER
Mon
29.10.2007
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHACHERMAYER
Mon
05.11.2007
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHACHERMAYER
Mon
12.11.2007
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHACHERMAYER
Mon
19.11.2007
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHACHERMAYER
Mon
26.11.2007
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHACHERMAYER
Mon
03.12.2007
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHACHERMAYER
Mon
10.12.2007
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHACHERMAYER
Mon
17.12.2007
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHACHERMAYER
Mon
24.12.2007
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHACHERMAYER
Mon
31.12.2007
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHACHERMAYER
Mon
07.01.2008
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHACHERMAYER
Mon
14.01.2008
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHACHERMAYER
Mon
21.01.2008
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHACHERMAYER
Mon
28.01.2008
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHACHERMAYER
F
P
1
N
E
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
105.092 UE Stochastic analysis in financial and actuarial mathematics 2
105.091 VO Stochastic analysis in financial and actuarial mathematics 2
Language
German