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.

2014W, 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
Mon13:00 - 14:3006.10.2014FH Hörsaal 3 - MATH .
Tue09:00 - 10:0007.10.2014 - 14.10.2014FH Hörsaal 2 .
Tue09:00 - 12:1521.10.2014 - 27.01.2015FH Hörsaal 2 .
Stochastic analysis in financial and actuarial mathematics 1 - Single appointments
DayDateTimeLocationDescription
Mon06.10.201413:00 - 14:30FH Hörsaal 3 - MATH .
Tue07.10.201409:00 - 10:00FH Hörsaal 2 .
Tue14.10.201409:00 - 10:00FH Hörsaal 2 .
Tue21.10.201409:00 - 12:15FH Hörsaal 2 .
Tue28.10.201409:00 - 12:15FH Hörsaal 2 .
Tue04.11.201409:00 - 12:15FH Hörsaal 2 .
Tue11.11.201409:00 - 12:15FH Hörsaal 2 .
Tue18.11.201409:00 - 12:15FH Hörsaal 2 .
Tue25.11.201409:00 - 12:15FH Hörsaal 2 .
Tue02.12.201409:00 - 12:15FH Hörsaal 2 Beginn erst 9:45 !!!
Tue09.12.201409:00 - 12:15FH Hörsaal 2 .
Tue16.12.201409:00 - 12:15FH Hörsaal 2 .
Tue13.01.201509:00 - 12:15FH Hörsaal 2 .
Tue20.01.201509:00 - 12:15FH Hörsaal 2 .
Tue27.01.201509:00 - 12:15FH Hörsaal 2 .

Examination modalities

Oral exam

 

Course registration

Begin End Deregistration end
01.02.2015 00:00 01.02.2015 23:59 30.06.2015 23:59

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