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, Anwendungen aus Wirtschafts-, Natur- und Ingenieurwissenschaften (u. a. Bewertung von Optionen, Diffusion, Kalmanfilter) |
| media of instruction | Tafel, Skript, Aufgaben, Software |
| literature / references | Kuo, H.-H. (2006). Introduction to Stochastic Integration, Universitext, Springer, New York. |
| evaluation of teaching | Pflichtevaluation: Freiwillige Evaluation: Hospitation: |