Technische Universität Ilmenau

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 number5806
examination number2400180
departmentDepartment of Mathematics and Natural Sciences
ID of group 2412 (Group for Probability Theory and Mathematical Statistics)
subject leaderProf. Dr. Thomas Hotz
term Sommersemester
languageDeutsch
credit points4
on-campus program (h)34
self-study (h)86
Obligationobligatory elective
examnone
details of the certificate
maximum number of participants
previous knowledge and experienceMaßtheorie, 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.

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