Stochastic Models in Finance - Modultafeln of TU Ilmenau
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courses,
examinations.
| subject properties Stochastic Models in Finance in major Master Mathematik und Wirtschaftsmathematik 2013 (WM) | |
|---|---|
| subject number | 5806 |
| examination number | 2400180 |
| department | Department of Mathematics and Natural Sciences |
| ID of group | 2412 (Group for Probability Theory and Mathematical Statistics) |
| subject leader | Prof. Dr. Thomas Hotz |
| term | Sommersemester |
| language | Deutsch |
| 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 | |
| maximum number of participants | |
| 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. |
| evaluation of teaching | Pflichtevaluation: Freiwillige Evaluation: Hospitation: |