105.167 Large Deviations with Applications in Actuarial and 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.

2015S, VO, 2.0h, 3.0EC


  • Semester hours: 2.0
  • Credits: 3.0
  • Type: VO Lecture

Aim of course

Understanding the fundamentals of a classical area of probability theory, including applications in risk management and option pricing.

Subject of course

The theory of large deviations deals with "rare" events, whose probability decreases exponentially w.r.t. some parameter. A classical example are sample means which are "far" from the true expectation inspite of a "large" sample size. We will cover the following subjects from the general theory: Cramer's theorem, Gärtner-Ellis theorem, general LDP (large deviation principle), Varadhan's lemma, and fundamentals of the Freidlin-Ventzell theory about sample path large deviations. Applications: Option pricing by Monte Carlo (importance sampling), large losses in credit risk management, asymptotics of option prices for short maturities.



Course dates

Mon14:00 - 16:0002.03.2015 - 09.03.2015Sem.R. DA grün 06A .
Mon12:30 - 14:0016.03.2015 - 29.06.2015Sem.R. DC rot 07 .
Large Deviations with Applications in Actuarial and Financial Mathematics - Single appointments
Mon02.03.201514:00 - 16:00Sem.R. DA grün 06A .
Mon09.03.201514:00 - 16:00Sem.R. DA grün 06A .
Mon16.03.201512:30 - 14:00Sem.R. DC rot 07 .
Mon23.03.201512:30 - 14:00Sem.R. DC rot 07 .
Mon20.04.201512:30 - 14:00Sem.R. DC rot 07 .
Mon27.04.201512:30 - 14:00Sem.R. DC rot 07 .
Mon04.05.201512:30 - 14:00Sem.R. DC rot 07 .
Mon11.05.201512:30 - 14:00Sem.R. DC rot 07 .
Mon18.05.201512:30 - 14:00Sem.R. DC rot 07 .
Mon08.06.201512:30 - 14:00Sem.R. DC rot 07 .
Mon15.06.201512:30 - 14:00Sem.R. DC rot 07 .
Mon22.06.201512:30 - 14:00Sem.R. DC rot 07 .
Mon29.06.201512:30 - 14:00Sem.R. DC rot 07 .

Course registration

Not necessary


Study CodeObligationSemesterPrecon.Info
066 415 Actuarial Mathematics Not specified
860 Technical Mathematics Not specified
860 GW Optional Courses - Technical Mathematics Not specified


No lecture notes are available.