105.153 Jump Processes in Financial Mathematics
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2010S, SE, 2.0h, 3.0EC

Properties

Semester hours: 2.0
Credits: 3.0
Type: SE Seminar

Aim of course

My goal is to convey basics of Levy processes, infinitely divisible distributions, stochastic calculus with jumps in view of applications in mathematical finance and insurance mathematics, in order to enable participants to read pertinent research articles.

Subject of course

Levy processes, jump-diffusion processes, subordination; semimartingales; stochastic integration and Ito's formula with jumps; martingale measures and measure changes with Levy processes; pricing and hedging in incomplete markets, in particular for exponential Levy models

Additional information

Please consider the plagiarism guidelines of TU Wien when writing your seminar paper: Directive concerning the handling of plagiarism (PDF)

Lecturers

Hubalek, Friedrich

Institute

E105 Institute of Statistics and Mathematical Methods in Economics

Course dates

Day	Time	Date	Location	Description
Fri	10:00 - 11:30	26.03.2010	FH Hörsaal 1 - MWB	HUBALEK
Mon	12:30 - 14:00	12.04.2010	EI 10 Fritz Paschke HS - UIW	HUBALEK
Mon	12:30 - 14:00	26.04.2010	FH Hörsaal 7 - GEO	HUBALEK
Fri	10:15 - 11:45	30.04.2010	FH Hörsaal 1 - MWB	HUBALEK
Mon	12:30 - 14:00	03.05.2010	HS 7 Schütte-Lihotzky - ARCH	HUBALEK
Fri	10:00 - 11:30	07.05.2010	EI 8 Pötzl HS - QUER	HUBALEK
Mon	12:30 - 14:00	10.05.2010	EI 4 Reithoffer HS	HUBALEK
Mon	12:30 - 14:00	17.05.2010	FH Hörsaal 7 - GEO	HUBALEK
Fri	10:00 - 11:30	21.05.2010	EI 8 Pötzl HS - QUER	HUBALEK
Fri	10:00 - 11:30	28.05.2010	EI 8 Pötzl HS - QUER	HUBALEK
Fri	10:00 - 11:30	11.06.2010	EI 8 Pötzl HS - QUER	HUBALEK
Mon	12:30 - 14:00	14.06.2010	HS 7 Schütte-Lihotzky - ARCH	HUBALEK
Fri	10:00 - 11:30	18.06.2010	EI 8 Pötzl HS - QUER	HUBALEK

Examination modalities

Prepare and present seminar talks (blackboard!).

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

Cont and Tankov, Financial Modelling with Jump Processes

Previous knowledge

Sound basic command of probability theory, stochastic processes and mathematical finance or risk/ruin theory is recommmended.

Miscellaneous

Course homepage

Language

German