Universität Wien

040688 UK Stochastic Processes (2019S)

3.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften
Continuous assessment of course work

Inhalte, Ziele, Methoden, Leistungskontrolle siehe Homepage von I.Klein

Registration/Deregistration

Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).

Details

max. 50 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

  • Tuesday 05.03. 13:15 - 14:45 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 19.03. 13:15 - 14:45 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 26.03. 13:15 - 14:45 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 02.04. 13:15 - 14:45 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 09.04. 13:15 - 14:45 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Friday 12.04. 09:45 - 11:15 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 30.04. 13:15 - 14:45 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 07.05. 13:15 - 14:45 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 14.05. 13:15 - 14:45 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 21.05. 13:15 - 14:45 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 28.05. 13:15 - 14:45 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 04.06. 13:15 - 14:45 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 18.06. 13:15 - 14:45 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 25.06. 13:15 - 14:45 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock

Information

Aims, contents and method of the course

Introduction to stochastic processes in discrete time. Brownian motion as limit of random walks. Martingales. Stochastic integrals in discrete time. Applications to mathematical finance in discrete time. First steps towards a stochastic integral for Brownian motion. Method: Lecture, exercises on the blackboard, take home exercises

Assessment and permitted materials

Points are available in three forms: 1) Test (max 16 points), 2) Presentation (each max 2 points), 3) Take home exercises (max 20 points)

Minimum requirements and assessment criteria

>=18 points: 4
> 22 points: 3
> 27 points: 2
>=32 points: 1

Examination topics

Everything that was done in lecture and exercises

Reading list

Literature used in and going beyond the course:

P. Billingsley : Probability an measure, Wiley

D. Williams : Probability with martingales,
Cambridge University Press

Karatzas, S. Shreve: Brownian Motion and Stochastic Calculus, Springer

Association in the course directory

Last modified: Mo 07.09.2020 15:29