Technische Universität Ilmenau

Stochastic Models in Finance - Modultafeln of TU Ilmenau

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module properties module number 5806 - common information
module number5806
departmentDepartment of Mathematics and Natural Sciences
ID of group2412 (Group for Probability Theory and Mathematical Statistics)
module leaderProf. Dr. Thomas Hotz
languageDeutsch
term Sommersemester
previous knowledge and experienceMaßtheorie, 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:

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Details reference subject
module nameStochastic Models in Finance
examination number2400180
credit points
SWS3
on-campus program (h)
self-study (h)
Obligationobligatory elective
examnone
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 nameStochastic Models in Finance
examination number2400180
credit points4
on-campus program (h)34
self-study (h)86
Obligationobligatory elective
examnone
details of the certificate
Signup details for alternative examinations
maximum number of participants