Technische Universität Ilmenau

Stochastic Analysis - Modultafeln 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).

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module properties module number 200451 - common information
module number200451
departmentDepartment of Mathematics and Natural Sciences
ID of group2412 (Probability Theory and Mathematical Statistics)
module leaderProf. Dr. Thomas Hotz
languageDeutsch
term Sommersemester
previous knowledge and experience

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.

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
Details reference subject
module nameStochastic Analysis
examination number2400803
credit points5
SWS3 (2 V, 1 Ü, 0 P)
on-campus program (h)33.75
self-study (h)116.25
obligationobligatory module
examoral examination performance, 30 minutes
details of the certificate
alternative examination performance due to COVID-19 regulations incl. technical requirements
signup details for alternative examinations
maximum number of participants
Details in degree program Master Technische Kybernetik und Systemtheorie 2021, Bachelor Mathematik 2021
module nameStochastic Analysis
examination number2400803
credit points5
on-campus program (h)34
self-study (h)116
obligationelective module
examoral examination performance, 30 minutes
details of the certificate
alternative examination performance due to COVID-19 regulations incl. technical requirements
signup details for alternative examinations
maximum number of participants