Stochastic Models in Finance - Modultafeln of TU Ilmenau
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subject properties Stochastic Models in Finance in major Master Mathematik und Wirtschaftsmathematik 2013 (WM) | |
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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: |