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105.091
AKFVM Stochastic analysis in financial and actuarial mathematics 2
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2008S, 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
15:00 - 16:30
03.03.2008 - 30.06.2008
FH Hörsaal 7 - GEO
TEICHMANN
Show single appointments
AKFVM Stochastic analysis in financial and actuarial mathematics 2 - Single appointments
F
P
1
N
E
Day
Date
Time
Location
Description
Mon
03.03.2008
15:00 - 16:30
FH Hörsaal 7 - GEO
TEICHMANN
Mon
10.03.2008
15:00 - 16:30
FH Hörsaal 7 - GEO
TEICHMANN
Mon
17.03.2008
15:00 - 16:30
FH Hörsaal 7 - GEO
TEICHMANN
Mon
24.03.2008
15:00 - 16:30
FH Hörsaal 7 - GEO
TEICHMANN
Mon
31.03.2008
15:00 - 16:30
FH Hörsaal 7 - GEO
TEICHMANN
Mon
07.04.2008
15:00 - 16:30
FH Hörsaal 7 - GEO
TEICHMANN
Mon
14.04.2008
15:00 - 16:30
FH Hörsaal 7 - GEO
TEICHMANN
Mon
21.04.2008
15:00 - 16:30
FH Hörsaal 7 - GEO
TEICHMANN
Mon
28.04.2008
15:00 - 16:30
FH Hörsaal 7 - GEO
TEICHMANN
Mon
05.05.2008
15:00 - 16:30
FH Hörsaal 7 - GEO
TEICHMANN
Mon
12.05.2008
15:00 - 16:30
FH Hörsaal 7 - GEO
TEICHMANN
Mon
19.05.2008
15:00 - 16:30
FH Hörsaal 7 - GEO
TEICHMANN
Mon
26.05.2008
15:00 - 16:30
FH Hörsaal 7 - GEO
TEICHMANN
Mon
02.06.2008
15:00 - 16:30
FH Hörsaal 7 - GEO
TEICHMANN
Mon
09.06.2008
15:00 - 16:30
FH Hörsaal 7 - GEO
TEICHMANN
Mon
16.06.2008
15:00 - 16:30
FH Hörsaal 7 - GEO
TEICHMANN
Mon
23.06.2008
15:00 - 16:30
FH Hörsaal 7 - GEO
TEICHMANN
Mon
30.06.2008
15:00 - 16:30
FH Hörsaal 7 - GEO
TEICHMANN
F
P
1
N
E
Examination modalities
oral exam
Course registration
Not necessary
Curricula
Study Code
Obligation
Semester
Precon.
Info
No records found.
Literature
No lecture notes are available.
Preceding courses
105.090 VO Stochastic analysis in financial and actuarial mathematics 1
Accompanying courses
105.092 UE Stochastic analysis in financial and actuarial mathematics 2
Language
German
