Stochastic Models in Finance - Modultafeln of TU Ilmenau
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| module properties module number 5806 - common information | |
|---|---|
| module number | 5806 |
| department | Department of Mathematics and Natural Sciences |
| ID of group | 2412 (Group for 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 | Tafel, Skript, Aufgaben, Software |
| literature / references | Klenke, A. (2006). Wahrscheinlichkeitstheorie, Springer, Berlin. |
| evaluation of teaching | Pflichtevaluation: Freiwillige Evaluation: Hospitation: |
| Details reference subject | |
|---|---|
| module name | Stochastic Models in Finance |
| examination number | 2400180 |
| credit points | |
| SWS | 3 |
| on-campus program (h) | |
| self-study (h) | |
| Obligation | obligatory elective |
| exam | none |
| details of the certificate | |
| Signup details for alternative examinations | |
| maximum number of participants | |
| Details in major 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 | obligatory elective |
| exam | none |
| details of the certificate | |
| Signup details for alternative examinations | |
| maximum number of participants | |