105.630 AKFVM Stochastic Analysis in Financial and Actuarial Mathematics 3
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

Properties

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

Aim of course

Advanced subjects of stochastic analysis as needed for continuous-time financial and actuarial mathematics.

Subject of course

Yamada-Watanabe criterion for pathwise uniqueness, martingale representation, Doob-Meyer decomposition, stochastic Fubini theorem, local time of one-dimensional Brownian motion and extension of Ito's formula, extension of the stochastic integral for general semimartingales

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Tue09:00 - 11:0008.03.2016Sem.R. DC rot 07 .
Tue09:00 - 11:3015.03.2016 - 28.06.2016Sem.R. DC rot 07 Vorlesung UND Übung
AKFVM Stochastic Analysis in Financial and Actuarial Mathematics 3 - Single appointments
DayDateTimeLocationDescription
Tue08.03.201609:00 - 11:00Sem.R. DC rot 07 .
Tue15.03.201609:00 - 11:30Sem.R. DC rot 07 Vorlesung UND Übung
Tue05.04.201609:00 - 11:30Sem.R. DC rot 07 Vorlesung UND Übung
Tue12.04.201609:00 - 11:30Sem.R. DC rot 07 Vorlesung UND Übung
Tue26.04.201609:00 - 11:30Sem.R. DC rot 07 Vorlesung UND Übung
Tue03.05.201609:00 - 11:30Sem.R. DC rot 07 Vorlesung UND Übung
Tue10.05.201609:00 - 11:30Sem.R. DC rot 07 Vorlesung UND Übung
Tue24.05.201609:00 - 11:30Sem.R. DC rot 07 Vorlesung UND Übung
Tue31.05.201609:00 - 11:30Sem.R. DC rot 07 Vorlesung UND Übung
Tue07.06.201609:00 - 11:30Sem.R. DC rot 07 Vorlesung UND Übung
Tue14.06.201609:00 - 11:30Sem.R. DC rot 07 Vorlesung UND Übung
Tue21.06.201609:00 - 11:30Sem.R. DC rot 07 Vorlesung UND Übung
Tue28.06.201609:00 - 11:30Sem.R. DC rot 07 Vorlesung UND Übung

Examination modalities

oral Exam

Course registration

Begin End Deregistration end
01.03.2016 00:00 31.03.2016 23:59 31.03.2016 23:59

Curricula

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

Literature

  • Bernt Øksendal: Stochastic Differential Equations: An Introduction with Applications. 6. Edition, Springer-Verlag, 2007, ISBN 978-3-54004-758-2.
  • Daniel Revuz and Marc Yor: Continuous Martingales and Brownian Motion, 3. Edition, Springer-Verlag, 1999, ISBN 3-540-64325-7.
  • Olav Kallenberg: Foundations of Modern Probability. 2. Edition, Springer-Verlag, 2002, ISBN 0-387-953113-2.

Accompanying courses

Language

if required in English