105.695 Introduction to stochastic processes and time series
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2019S, VO, 2.5h, 4.0EC

Properties

  • Semester hours: 2.5
  • Credits: 4.0
  • Type: VO Lecture

Aim of course

An introduction to stochastic processes and time series with a view towards the applications in finance and insurance.

Subject of course

Brownian motion (Wiener process); Definition and properties; construction of the stochastic integral and properties; Ito isometry and Ito formula; Markov chains in discrete time; definition and fundamental formulas; application of the Markov property; classification of states; introduction to time series analysis: stationary processes (in discrete time), auto covariance function, ARMA processes, estimation and forecasting.

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Mon14:30 - 16:3004.03.2019 - 24.06.2019FH Hörsaal 7 .
Introduction to stochastic processes and time series - Single appointments
DayDateTimeLocationDescription
Mon04.03.201914:30 - 16:30FH Hörsaal 7 .
Mon11.03.201914:30 - 16:30FH Hörsaal 7 .
Mon18.03.201914:30 - 16:30FH Hörsaal 7 .
Mon25.03.201914:30 - 16:30FH Hörsaal 7 .
Mon01.04.201914:30 - 16:30FH Hörsaal 7 .
Mon08.04.201914:30 - 16:30FH Hörsaal 7 .
Mon29.04.201914:30 - 16:30FH Hörsaal 7 .
Mon06.05.201914:30 - 16:30FH Hörsaal 7 .
Mon13.05.201914:30 - 16:30FH Hörsaal 7 .
Mon20.05.201914:30 - 16:30FH Hörsaal 7 .
Mon27.05.201914:30 - 16:30FH Hörsaal 7 .
Mon03.06.201914:30 - 16:30FH Hörsaal 7 .
Mon17.06.201914:30 - 16:30FH Hörsaal 7 .
Mon24.06.201914:30 - 16:30FH Hörsaal 7 .

Examination modalities

Written and oral examination.
More information on: https://fam.tuwien.ac.at/lehre/pr/

Exams

DayTimeDateRoomMode of examinationApplication timeApplication modeExam
Mon11:30 - 13:3028.09.2020FH Hörsaal 1 written09.07.2020 00:00 - 21.09.2020 23:59TISS2020S

Course registration

Begin End Deregistration end
31.01.2019 00:00 29.06.2019 23:59 29.06.2019 23:59

Curricula

Literature

Brzezniak, Zdzislaw; Zastawniak, Tomasz Basic stochastic processes. A course through exercises. Springer Undergraduate Mathematics Series. Springer-Verlag London, Ltd., London, 1999.

Norris, J. R. Markov chains. Reprint of 1997 original. Cambridge Series in Statistical and Probabilistic Mathematics, 2. Cambridge University Press, Cambridge, 1998.

Deistler, Manfred; Scherrer, Wolfgang. Modelle der Zeitreihenanalyse. Mathematik Kompakt,  Birkhäuser, 2018.

Accompanying courses

Language

German