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.

2016S, VO, 2.0h, 3.0EC
TUWEL

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 - 16:3007.03.2016 - 27.06.2016FH Hörsaal 7 - GEO .
Fri12:00 - 14:0006.05.2016FH Hörsaal 3 - MATH Ersatztermin
Introduction to stochastic processes and time series analysis - Single appointments
DayDateTimeLocationDescription
Mon07.03.201614:30 - 16:30FH Hörsaal 7 - GEO .
Mon14.03.201614:30 - 16:30FH Hörsaal 7 - GEO .
Mon04.04.201614:30 - 16:30FH Hörsaal 7 - GEO .
Mon11.04.201614:30 - 16:30FH Hörsaal 7 - GEO .
Mon18.04.201614:30 - 16:30FH Hörsaal 7 - GEO .
Mon25.04.201614:30 - 16:30FH Hörsaal 7 - GEO .
Mon02.05.201614:30 - 16:30FH Hörsaal 7 - GEO .
Fri06.05.201612:00 - 14:00FH Hörsaal 3 - MATH Ersatztermin
Mon09.05.201614:30 - 16:30FH Hörsaal 7 - GEO .
Mon23.05.201614:30 - 16:30FH Hörsaal 7 - GEO .
Mon30.05.201614:30 - 16:30FH Hörsaal 7 - GEO .
Mon06.06.201614:30 - 16:30FH Hörsaal 7 - GEO .
Mon13.06.201614:30 - 16:30FH Hörsaal 7 - GEO .
Mon20.06.201614:30 - 16:30FH Hörsaal 7 - GEO .
Mon27.06.201614:30 - 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
25.02.2016 12:00 27.09.2016 12:00 27.09.2016 12:00

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

Miscellaneous

Language

German