Universität Wien

040688 UK Stochastic Processes (MA) (2024S)

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

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

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. 30 participants
Language: German

Lecturers

Classes (iCal) - next class is marked with N

  • Wednesday 06.03. 16:45 - 18:15 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 13.03. 16:45 - 18:15 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 20.03. 16:45 - 18:15 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 10.04. 16:45 - 18:15 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 17.04. 16:45 - 18:15 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 24.04. 16:45 - 18:15 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 08.05. 16:45 - 18:15 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 15.05. 16:45 - 18:15 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 22.05. 16:45 - 18:15 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Friday 24.05. 13:15 - 14:45 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 29.05. 16:45 - 18:15 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 05.06. 16:45 - 18:15 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 12.06. 16:45 - 18:15 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 19.06. 16:45 - 18:15 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 26.06. 16:45 - 18:15 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock

Information

Aims, contents and method of the course

Stochastic processes in discrete and continuous time. Brownian motion as limit of random walks. Conditional expectation and martingales. Stochastic integrals in discrete time. Basic introduction to stochastic analysis for Brownian motion as it is used in models of financial markets. Stochastic integral for Brownian motion. Ito's formula for Brownian motion. Method: Lecture, exercises on the blackboard, take home exercises

Assessment and permitted materials

There will be 2 tests. Midterm Test 8.5.2024, Final Test 26.6.2024. Moreover there will be the possibility to achieve points by presentation of homework exercises. For the tests: no materials permitted. For the blackboard presentation: preparation notes permitted.

Minimum requirements and assessment criteria

There will be 2 tests. In each test 16 points can be acchieved. Moreover points can be acchieved via presentation of exercises on the blackboard.

Grades:
>= 18...grade 4
>=23...grade 3
>=28...grade 2
>= 33...grade 1

Examination topics

Everything that was done in lecture and exercises

Reading list

Literature, that also goes beyond the contents of the course:

P. Billingsley : Probability an measure, Wiley
I. Karatzas, S. Shreve: Brownian Motion and Stochastic Calculus;
D. Williams : Probability with martingales,
Cambridge University Press

Association in the course directory

Last modified: We 31.07.2024 11:25