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.

2012S, 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

Martingales in discrete time and elementary theorems; introcuction to processes in continuous time: Brownian motion; 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 - 16:0005.03.2012 - 25.06.2012FH Hörsaal 7 - GEO .
Introduction to stochastic processes and time series analysis - Single appointments
DayDateTimeLocationDescription
Mon05.03.201214:30 - 16:00FH Hörsaal 7 - GEO .
Mon12.03.201214:30 - 16:00FH Hörsaal 7 - GEO .
Mon19.03.201214:30 - 16:00FH Hörsaal 7 - GEO .
Mon26.03.201214:30 - 16:00FH Hörsaal 7 - GEO .
Mon16.04.201214:30 - 16:00FH Hörsaal 7 - GEO .
Mon23.04.201214:30 - 16:00FH Hörsaal 7 - GEO .
Mon30.04.201214:30 - 16:00FH Hörsaal 7 - GEO .
Mon07.05.201214:30 - 16:00FH Hörsaal 7 - GEO .
Mon14.05.201214:30 - 16:00FH Hörsaal 7 - GEO .
Mon21.05.201214:30 - 16:00FH Hörsaal 7 - GEO .
Mon04.06.201214:30 - 16:00FH Hörsaal 7 - GEO .
Mon11.06.201214:30 - 16:00FH Hörsaal 7 - GEO .
Mon18.06.201214:30 - 16:00FH Hörsaal 7 - GEO .
Mon25.06.201214:30 - 16:00FH Hörsaal 7 - GEO .

Examination modalities

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

Course registration

Not necessary

Curricula

Study CodeObligationSemesterPrecon.Info
033 203 Statistics and Mathematics in Economics Mandatory4. Semester
033 205 Financial and Actuarial Mathematics Not specified

Literature

  • Zdzislaw Brzezniak and Tomasz 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.

Accompanying courses

Language

German