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.

2013S, 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 - 16:0004.03.2013 - 24.06.2013FH Hörsaal 7 - GEO .
Introduction to stochastic processes and time series analysis - Single appointments
DayDateTimeLocationDescription
Mon04.03.201314:30 - 16:00FH Hörsaal 7 - GEO .
Mon11.03.201314:30 - 16:00FH Hörsaal 7 - GEO .
Mon18.03.201314:30 - 16:00FH Hörsaal 7 - GEO .
Mon08.04.201314:30 - 16:00FH Hörsaal 7 - GEO .
Mon15.04.201314:30 - 16:00FH Hörsaal 7 - GEO .
Mon22.04.201314:30 - 16:00FH Hörsaal 7 - GEO .
Mon29.04.201314:30 - 16:00FH Hörsaal 7 - GEO .
Mon06.05.201314:30 - 16:00FH Hörsaal 7 - GEO .
Mon13.05.201314:30 - 16:00FH Hörsaal 7 - GEO .
Mon27.05.201314:30 - 16:00FH Hörsaal 7 - GEO .
Mon03.06.201314:30 - 16:00FH Hörsaal 7 - GEO .
Mon10.06.201314:30 - 16:00FH Hörsaal 7 - GEO .
Mon17.06.201314:30 - 16:00FH Hörsaal 7 - GEO .
Mon24.06.201314:30 - 16:00FH Hörsaal 7 - GEO .

Examination modalities

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

Course registration

Begin End Deregistration end
01.05.2013 00:00 31.05.2013 23:59 30.06.2013 23:59

Registration modalities

Anmeldung für im TISS hochgeladene Unterlagen notwendig!

Curricula

Study CodeObligationSemesterPrecon.Info
033 203 Statistics and Mathematics in Economics Mandatory4. Semester
033 205 Financial and Actuarial Mathematics Not specified
066 395 Statistics and Mathematics in Economics Mandatory elective

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