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.

2013W, 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
Tue09:00 - 09:4501.10.2013 - 21.01.2014FH Hörsaal 3 - MATH .
Mon13:00 - 14:3007.10.2013 - 27.01.2014FH Hörsaal 3 - MATH .
Fri14:00 - 16:0008.11.2013FH Hörsaal 3 - MATH Ersatztermin für 11.&12. Nov.
Tue09:00 - 09:4517.12.2013FH Hörsaal 2 ACHTUNG: Anderer Hörsaal!
Fri14:30 - 16:0017.01.2014FH Hörsaal 3 - MATH Zusätzlicher Termin (für entfallene Termine)
Stochastic analysis in financial and actuarial mathematics 1 - Single appointments
DayDateTimeLocationDescription
Tue01.10.201309:00 - 09:45FH Hörsaal 3 - MATH .
Mon07.10.201313:00 - 14:30FH Hörsaal 3 - MATH .
Tue08.10.201309:00 - 09:45FH Hörsaal 3 - MATH .
Mon14.10.201313:00 - 14:30FH Hörsaal 3 - MATH .
Tue15.10.201309:00 - 09:45FH Hörsaal 3 - MATH .
Mon21.10.201313:00 - 14:30FH Hörsaal 3 - MATH .
Tue22.10.201309:00 - 09:45FH Hörsaal 3 - MATH .
Mon28.10.201313:00 - 14:30FH Hörsaal 3 - MATH .
Tue29.10.201309:00 - 09:45FH Hörsaal 3 - MATH .
Mon04.11.201313:00 - 14:30FH Hörsaal 3 - MATH .
Tue05.11.201309:00 - 09:45FH Hörsaal 3 - MATH .
Fri08.11.201314:00 - 16:00FH Hörsaal 3 - MATH Ersatztermin für 11.&12. Nov.
Mon18.11.201313:00 - 14:30FH Hörsaal 3 - MATH .
Tue19.11.201309:00 - 09:45FH Hörsaal 3 - MATH .
Mon25.11.201313:00 - 14:30FH Hörsaal 3 - MATH .
Tue26.11.201309:00 - 09:45FH Hörsaal 3 - MATH .
Mon02.12.201313:00 - 14:30FH Hörsaal 3 - MATH .
Tue03.12.201309:00 - 09:45FH Hörsaal 3 - MATH .
Mon09.12.201313:00 - 14:30FH Hörsaal 3 - MATH .
Tue10.12.201309:00 - 09:45FH 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