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.

2015W, 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 - 14:3005.10.2015 - 25.01.2016FH Hörsaal 3 - MATH .
Mon14:35 - 15:0005.10.2015Sem.R. DA grün 04 Vorbesprechung für ÜBUNG
Tue09:00 - 10:0006.10.2015 - 26.01.2016FH Hörsaal 2 .
Wed13:00 - 14:0002.12.2015FH Hörsaal 3 - MATH Ersatztermin für 1. Dezember
Stochastic analysis in financial and actuarial mathematics 1 - Single appointments
DayDateTimeLocationDescription
Mon05.10.201512:45 - 14:30FH Hörsaal 3 - MATH .
Mon05.10.201514:35 - 15:00Sem.R. DA grün 04 Vorbesprechung für ÜBUNG
Tue06.10.201509:00 - 10:00FH Hörsaal 2 .
Mon12.10.201512:45 - 14:30FH Hörsaal 3 - MATH .
Tue13.10.201509:00 - 10:00FH Hörsaal 2 .
Mon19.10.201512:45 - 14:30FH Hörsaal 3 - MATH .
Tue27.10.201509:00 - 10:00FH Hörsaal 2 .
Tue03.11.201509:00 - 10:00FH Hörsaal 2 .
Mon09.11.201512:45 - 14:30FH Hörsaal 3 - MATH .
Tue10.11.201509:00 - 10:00FH Hörsaal 2 .
Mon16.11.201512:45 - 14:30FH Hörsaal 3 - MATH .
Tue17.11.201509:00 - 10:00FH Hörsaal 2 .
Mon23.11.201512:45 - 14:30FH Hörsaal 3 - MATH .
Tue24.11.201509:00 - 10:00FH Hörsaal 2 .
Mon30.11.201512:45 - 14:30FH Hörsaal 3 - MATH .
Tue01.12.201509:00 - 10:00FH Hörsaal 2 .
Wed02.12.201513:00 - 14:00FH Hörsaal 3 - MATH Ersatztermin für 1. Dezember
Mon07.12.201512:45 - 14:30FH Hörsaal 3 - MATH .
Mon14.12.201512:45 - 14:30FH Hörsaal 3 - MATH .
Tue15.12.201509:00 - 10:00FH Hörsaal 2 .

Examination modalities

Oral exam

 

Course registration

Begin End Deregistration end
01.10.2015 00:00 31.01.2016 23:59 31.01.2016 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.

Preceding courses

Accompanying courses

Continuative courses

Language

German