Technische Universität Ilmenau

Stochastic Models in Finance - Modultafeln of TU Ilmenau

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module properties Stochastic Models in Finance in degree program Master Mathematik und Wirtschaftsmathematik 2013 (WM)
module number5806
examination number2400180
departmentDepartment of Mathematics and Natural Sciences
ID of group 2412 (Probability Theory and Mathematical Statistics)
module leaderProf. Dr. Thomas Hotz
term summer term only
languageDeutsch
credit points4
on-campus program (h)34
self-study (h)86
obligationelective module
examnone
details of the certificate
alternative examination performance due to COVID-19 regulations incl. technical requirements
signup details for alternative examinations
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 and technical requirements for education and examination in case of online participation

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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