105.653 Stochastic analysis in financial and actuarial mathematics 1
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2012W, VO, 3.0h, 5.0EC

Properties

  • Semester hours: 3.0
  • Credits: 5.0
  • Type: VO Lecture

Aim of course

Introduction to stochastic analysis as needed for continuous-time financial and actuarial mathematics.

Subject of course

Review of basic definitions from probability theory, continuity theorem of Levy, definition and basic properties of the multi-dimensional normal distribution, Brownian motion/Wiener process, Gaussian processes, existence proof of Brownian motion, definition of the Itô integral, Itô isometry, martingales and martingale inequalities, basic properties of the Itô integral, one- and multi-dimensional Itô formula, martingale representation

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Mon12:45 - 14:3001.10.2012 - 21.01.2013FH Hörsaal 3 - MATH .
Tue09:00 - 10:0002.10.2012 - 22.01.2013FH Hörsaal 3 - MATH .
Mon12:45 - 14:3028.01.2013FH Hörsaal 3 - MATH .
Stochastic analysis in financial and actuarial mathematics 1 - Single appointments
DayDateTimeLocationDescription
Mon01.10.201212:45 - 14:30FH Hörsaal 3 - MATH .
Tue02.10.201209:00 - 10:00FH Hörsaal 3 - MATH .
Mon08.10.201212:45 - 14:30FH Hörsaal 3 - MATH .
Tue09.10.201209:00 - 10:00FH Hörsaal 3 - MATH .
Mon15.10.201212:45 - 14:30FH Hörsaal 3 - MATH .
Tue16.10.201209:00 - 10:00FH Hörsaal 3 - MATH .
Mon22.10.201212:45 - 14:30FH Hörsaal 3 - MATH .
Tue23.10.201209:00 - 10:00FH Hörsaal 3 - MATH .
Mon29.10.201212:45 - 14:30FH Hörsaal 3 - MATH .
Tue30.10.201209:00 - 10:00FH Hörsaal 3 - MATH .
Mon05.11.201212:45 - 14:30FH Hörsaal 3 - MATH .
Tue06.11.201209:00 - 10:00FH Hörsaal 3 - MATH .
Mon12.11.201212:45 - 14:30FH Hörsaal 3 - MATH .
Tue13.11.201209:00 - 10:00FH Hörsaal 3 - MATH .
Mon19.11.201212:45 - 14:30FH Hörsaal 3 - MATH .
Tue20.11.201209:00 - 10:00FH Hörsaal 3 - MATH .
Mon26.11.201212:45 - 14:30FH Hörsaal 3 - MATH .
Tue27.11.201209:00 - 10:00FH Hörsaal 3 - MATH .
Mon03.12.201212:45 - 14:30FH Hörsaal 3 - MATH .
Tue04.12.201209:00 - 10:00FH Hörsaal 3 - MATH .

Examination modalities

Oral exam

 

Course registration

Not necessary

Curricula

Study CodeObligationSemesterPrecon.Info
066 405 Financial and Actuarial Mathematics Mandatory
860 GW Optional Courses - Technical Mathematics Not specified

Literature

No lecture notes are available.

Language

German