Stochastic Models in Finance - Modultafeln of TU Ilmenau

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subject properties subject number 5806 - common information
subject number	5806
department	Department of Mathematics and Natural Sciences
ID of group	2412 (Group for Probability Theory and Mathematical Statistics)
subject 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. Korn, R. and Korn, E. (1999). Optionsbewertung und Portfolio-Optimierung, vieweg, Braunschweig. McKean, H. P. (1969). Stochastic Integrals, Academic Press, New York. Steele, J. M. (2001). Stochastic Calculus and Financial Applications, Applications of Mathematics, Springer, New York.
evaluation of teaching	Pflichtevaluation: Freiwillige Evaluation: Hospitation:

Details in major Master Mathematik und Wirtschaftsmathematik 2013 (AM), Master Mathematik und Wirtschaftsmathematik 2013 (WM)
subject 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	Pflichtevaluation: Freiwillige Evaluation: Hospitation:
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