Technische Universität Ilmenau

Stochastic Analysis - Modultafeln of TU Ilmenau

The Modultafeln have a pure informational character. If you find information that seems to be incorrect, please contact modulkatalog@tu-ilmenau.de.

The legally binding information can be found in the corresponding Studienplan and Modulhandbuch, which are served on the pages of the course offers.
Information on the room and time of planned courses can be found in the e-calendar of events.

module properties module number 200451 - common information
module number200451
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 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 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
examoral examination performance, 30 minutes
details of the certificate
Signup details for alternative examinations
maximum number of participants