105.593 Introduction to stochastic processes and time series analysis
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2017S, VO, 2.0h, 3.0EC

Properties

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

Aim of course

An introduction to stochastic processes and time series with a view towards the applications in finance and insurance.

Subject of course

Brownian motion (Wiener process);Definition and properties; construction of the stochastic integral and properties; Ito isometry and Ito formula;

 

Markov chains in discrete time; definition and fundamental formulas; application of the Markov property; classification of states;

 

introduction to time series analysis: stationary processes (in discrete time), auto covariance function, ARMA processes, estimation and forecasting.

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Mon14:30 - 16:3006.03.2017 - 26.06.2017FH Hörsaal 7 - GEO .
Introduction to stochastic processes and time series analysis - Single appointments
DayDateTimeLocationDescription
Mon06.03.201714:30 - 16:30FH Hörsaal 7 - GEO .
Mon13.03.201714:30 - 16:30FH Hörsaal 7 - GEO .
Mon20.03.201714:30 - 16:30FH Hörsaal 7 - GEO .
Mon27.03.201714:30 - 16:30FH Hörsaal 7 - GEO .
Mon03.04.201714:30 - 16:30FH Hörsaal 7 - GEO .
Mon24.04.201714:30 - 16:30FH Hörsaal 7 - GEO .
Mon08.05.201714:30 - 16:30FH Hörsaal 7 - GEO .
Mon15.05.201714:30 - 16:30FH Hörsaal 7 - GEO .
Mon22.05.201714:30 - 16:30FH Hörsaal 7 - GEO .
Mon29.05.201714:30 - 16:30FH Hörsaal 7 - GEO .
Mon12.06.201714:30 - 16:30FH Hörsaal 7 - GEO .
Mon19.06.201714:30 - 16:30FH Hörsaal 7 - GEO .
Mon26.06.201714:30 - 16:30FH Hörsaal 7 - GEO .

Examination modalities

Written and oral examination.
More information on: https://fam.tuwien.ac.at/lehre/pr/

Course registration

Begin End Deregistration end
02.03.2017 12:00 03.10.2017 12:00 03.10.2017 12:00

Curricula

Literature

  • Z. Brzezniak and T. Zastawniak. Basic Stochastic Processes. Springer, 2007
  • P. J. Brockwell and R. A. Davis. Introduction to time series analysis and forecasting. Springer, New York, 2. edition, 2002.
  • R. Schlittgen and B. Streitberg. Zeitreihenanalyse. Oldenbourg, München; Wien, 9. edition, 2001.
  • J.R. Norris. Markov Chains (Cambridge Series in Statistical and Probabilistic Mathematics). Cambridge University Press, 1998.

Accompanying courses

Language

German