Stochastic Models in Finance - Modultafeln of TU Ilmenau

The Modultafeln have a pure informational character. The legally binding information can be found in the corresponding Studienplan and Modulhandbuch, which are served on the pages of the course offers. Please also pay attention to this legal advice (german only). Information on place and time of the actual lectures is served in the Vorlesungsverzeichnis.

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
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. 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	Pflichtevaluation: Freiwillige Evaluation: Hospitation: