Stochastic Models in Finance - Interactive curriculae of TU Ilmenau
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Please refer to the respective study and examination rules and regulations for the legally binding curricula (Annex Curriculum).
You can find all details on planned lectures and classes in the course catalogue.
Please note that this page is no longer updated. All modules and study plans from PO version 2021 onwards (Bachelor and Master study programs) are now available on the Campus Portal.
| module properties module number 5806 - common information | |
|---|---|
| module number | 5806 |
| department | Department of Mathematics and Natural Sciences |
| ID of group | 2412 (Probability Theory and Mathematical Statistics) |
| module leader | Prof. Dr. Thomas Hotz |
| language | Deutsch |
| term | Sommersemester |
| previous knowledge and experience | Maßtheorie, Wahrscheinlichkeitstheorie, Stochastische Prozesse |
| learning outcome | Die Studierenden beherrschen den Itô-Kalkül, können mit stochastischen Differentialgleichungen umgehen und beides für Anwendungen nutzen. |
| content | Itô-Integral, Itô-Formel, stochastische Differentialgleichungen und ihre Anwendungen (u. a. Bewertung von Optionen) |
| media of instruction and technical requirements for education and examination in case of online participation | Tafel, Skript, Aufgaben, Software |
| literature / references | Klenke, A. (2006). Wahrscheinlichkeitstheorie, Springer, Berlin. |
| evaluation of teaching | |
| Details reference subject | |
|---|---|
| module name | Stochastic Models in Finance |
| examination number | 2400180 |
| credit points | |
| SWS | 3 |
| on-campus program (h) | |
| self-study (h) | |
| obligation | elective module |
| exam | none |
| details of the certificate | |
| link to Moodle course | |
| teacher | |
| signup details for alternative examinations | |
| maximum number of participants | |
| Details in degree program Master Mathematik und Wirtschaftsmathematik 2013 (WM), Master Mathematik und Wirtschaftsmathematik 2013 (AM) | |
|---|---|
| module name | Stochastic Models in Finance |
| examination number | 2400180 |
| credit points | 4 |
| on-campus program (h) | 34 |
| self-study (h) | 86 |
| obligation | elective module |
| exam | none |
| details of the certificate | |
| link to Moodle course | |
| signup details for alternative examinations | |
| maximum number of participants | |