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105.090
Stochastic analysis in financial and actuarial mathematics 1
2011W
2010W
2009W
2008W
2007W
2006W
2008W, VO, 2.0h, 3.0EC
Properties
Semester hours: 2.0
Credits: 3.0
Type: VO Lecture
Aim of course
Introduction to stochastic analysis as needed for continuous-time financial and actuarial mathematics.
Subject of course
Review of basic definitions from probability theory, Kolmogorov's extension theorem, definition and basic properties of the multi-dimensional normal distribution, Brownian motion/Wiener process, Gaussian processes, Kolmogorov-Chentsov criterion for continuous sample paths, existence proof of Brownian motion, definition of the Itô integral, Itô isometry, martingales and martingale inequalities, basic properties of the Itô integral, existence of continuous versions, one- and multi-dimensional Itô formula, applications, martingale representation
Lecturers
Schmock, Uwe
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Course dates
Day
Time
Date
Location
Description
Mon
14:00 - 15:30
06.10.2008
FH Hörsaal 7 - GEO
SCHMOCK
Mon
13:00 - 14:30
13.10.2008 - 31.01.2009
FH Hörsaal 3 - MATH
SCHMOCK
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
06.10.2008
14:00 - 15:30
FH Hörsaal 7 - GEO
SCHMOCK
Mon
13.10.2008
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHMOCK
Mon
20.10.2008
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHMOCK
Mon
27.10.2008
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHMOCK
Mon
03.11.2008
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHMOCK
Mon
10.11.2008
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHMOCK
Mon
17.11.2008
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHMOCK
Mon
24.11.2008
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHMOCK
Mon
01.12.2008
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHMOCK
Mon
08.12.2008
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHMOCK
Mon
15.12.2008
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHMOCK
Mon
22.12.2008
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHMOCK
Mon
29.12.2008
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHMOCK
Mon
05.01.2009
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHMOCK
Mon
12.01.2009
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHMOCK
Mon
19.01.2009
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHMOCK
Mon
26.01.2009
13:00 - 14:30
FH Hörsaal 3 - MATH
SCHMOCK
F
P
1
N
E
Examination modalities
oral exam
Course registration
Not necessary
Curricula
Study Code
Obligation
Semester
Precon.
Info
No records found.
Literature
Bernt Øksendal: Stochastic Differential Equations: An Introduction with Applications. 6. Edition, Springer-Verlag, 2007, ISBN 978-3-54004-758-2. Additional literature: Olav Kallenberg: Foundations of Modern Probability. 2. Edition, Springer-Verlag, 2002, ISBN 0-387-953113-2. Daniel Revuz and Marc Yor: Continuous Martingales and Brownian Motion, 3. Edition, Springer-Verlag, 1999, ISBN 3-540-64325-7. Foundations: David Williams: Probability with Martingales. Cambridge University Press, 1991,ISBN 0-521-40605-6. Heinz Bauer: Maß- und Integrationstheorie. 2. Edition, De Gruyter, 1992, ISBN 3-11013-626-0. Heinz Bauer: Wahrscheinlichkeitstheorie. 5. Edition, De Gruyter, 2002, ISBN 3-11017-236-4.
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