Stochastic Analysis - Modultafeln of TU Ilmenau
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| module properties module number 200451 - common information | |
|---|---|
| module number | 200451 |
| 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 | 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 | |
| Details reference subject | |
|---|---|
| module name | Stochastic Analysis |
| examination number | 2400803 |
| credit points | 5 |
| SWS | 3 (2 V, 1 Ü, 0 P) |
| on-campus program (h) | 33.75 |
| self-study (h) | 116.25 |
| Obligation | obligatory |
| exam | oral examination performance, 30 minutes |
| details of the certificate | |
| Signup details for alternative examinations | |
| maximum number of participants | |