105.106 AKVFM Numerical methods for stochastic processes and differential equations
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2007S, VU, 3.0h, 4.5EC

Properties

Semester hours: 3.0
Credits: 4.5
Type: VU Lecture and Exercise

Aim of course

Methods for treating and simulating general stochastic processes (Brownian motion, Lévy processes, ...) as well as an overview over the most important numerical methods for the solution of stochastic differential equations

Subject of course

Stochastic processes: * Brownian motion and its simulation * Lévy processes and their simulation Stochastic differential equations: * stochastic analysis * finite differences * weak and strong solutions * simulation of the solutions * error order * extrapolation

Lecturers

Kainhofer, Reinhold

Institute

E105 Institute of Statistics and Mathematical Methods in Economics

Course dates

Day	Time	Date	Location	Description
Tue	15:30 - 16:15	06.03.2007	Sem.R. DA grün 06A	Vorbesprechung: KAINHOFER
Mon	14:15 - 15:45	12.03.2007 - 29.06.2007	Sem.R. DA grün 06A	KAINHOFER
Tue	15:30 - 16:15	13.03.2007 - 29.06.2007	Sem.R. DA grün 06A	KAINHOFER

Show single appointments

AKVFM Numerical methods for stochastic processes and differential equations - Single appointments

Day	Date	Time	Location	Description
Tue	06.03.2007	15:30 - 16:15	Sem.R. DA grün 06A	Vorbesprechung: KAINHOFER
Mon	12.03.2007	14:15 - 15:45	Sem.R. DA grün 06A	KAINHOFER
Tue	13.03.2007	15:30 - 16:15	Sem.R. DA grün 06A	KAINHOFER
Mon	19.03.2007	14:15 - 15:45	Sem.R. DA grün 06A	KAINHOFER
Tue	20.03.2007	15:30 - 16:15	Sem.R. DA grün 06A	KAINHOFER
Mon	26.03.2007	14:15 - 15:45	Sem.R. DA grün 06A	KAINHOFER
Tue	27.03.2007	15:30 - 16:15	Sem.R. DA grün 06A	KAINHOFER
Mon	02.04.2007	14:15 - 15:45	Sem.R. DA grün 06A	KAINHOFER
Tue	03.04.2007	15:30 - 16:15	Sem.R. DA grün 06A	KAINHOFER
Mon	09.04.2007	14:15 - 15:45	Sem.R. DA grün 06A	KAINHOFER
Tue	10.04.2007	15:30 - 16:15	Sem.R. DA grün 06A	KAINHOFER
Mon	16.04.2007	14:15 - 15:45	Sem.R. DA grün 06A	KAINHOFER
Tue	17.04.2007	15:30 - 16:15	Sem.R. DA grün 06A	KAINHOFER
Mon	23.04.2007	14:15 - 15:45	Sem.R. DA grün 06A	KAINHOFER
Tue	24.04.2007	15:30 - 16:15	Sem.R. DA grün 06A	KAINHOFER
Mon	30.04.2007	14:15 - 15:45	Sem.R. DA grün 06A	KAINHOFER
Tue	01.05.2007	15:30 - 16:15	Sem.R. DA grün 06A	KAINHOFER
Mon	07.05.2007	14:15 - 15:45	Sem.R. DA grün 06A	KAINHOFER
Tue	08.05.2007	15:30 - 16:15	Sem.R. DA grün 06A	KAINHOFER
Mon	14.05.2007	14:15 - 15:45	Sem.R. DA grün 06A	KAINHOFER

Examination modalities

home work exercises and oral exam

Course registration

Not necessary

Curricula

Study Code	Obligation	Semester	Precon.	Info
066 400 Mathematics	Not specified
066 401 Statistics	Not specified
066 402 Mathematics in Science and Technology	Not specified
066 403 Mathematics in Economics	Not specified
066 404 Mathematics in Computer Science	Not specified
066 405 Financial and Actuarial Mathematics	Not specified
066 415 Actuarial Mathematics	Not specified
860 Technical Mathematics	Not specified
864 Mathematics for Natural Sciences	Not specified
866 Economic Mathematics	Not specified
867 Statistics	Not specified
869 Mathematics in Computer Science	Not specified
873 Finance and Actuarial Mathematics	Not specified

Literature

Paul Glasserman: "Monte Carlo Methods in Financial Engineering" Rama Cont, Peter Tankov: "Financial Modelling With Jump Processes" Peter Kloeden, Eckhard Platen: "Numerical Solution of Stochastic Differential Equations"

Miscellaneous

Course homepage

Language

German