STATS WS 2008
From StrasserWiki
This is the homepage of the STATS-course of the VGSF-program. The page serves as a basis of communication between students and lecturer. It is updated on a regular basis.
Last update: 22.10.2008
The course is given by Prof. K. Pötzelberger and Prof. H. Strasser.
Contents |
[edit] Nature of the course
The course is a classroom lecture which is supported by lecture notes.
There are sheets for the units presented by Prof. H. Strasser.
The written exams will be open book exams, meaning that the lecture notes without any additional comments may be used during the exam. The problems of the exams will be exercises of the notes or additional exercises posed in the classroom. The solutions should include extensive references to the notions contained in the notes.
[edit] Time table
[edit] Unit 1
Time: 4.10.2008, 9:00 - 12:00, HS II (IHS)
Lecturer: Pötzelberger
Subject: Conditioning
Keywords: Conditional probability, conditional expectation.
[edit] Unit 2
Time: 6.10.2008, 9:00 - 12:00, HS II (IHS)
Lecturer: Strasser
Subject: Martingale theory (discrete time)
Keywords: Examples, inequalities, limit theorems, Markov property, stopping times
[edit] Unit 3
Time: 10.10.2008, 9:00 - 12:00, HS II (IHS)
Lecturer: Pötzelberger
Subject: Applications to gambling
Keywords: ruin problem with one and two players, Wald's equation, boundary crossing problems
[edit] Unit 4
Time: 13.10.2008, 9:00 - 12:00, HS II (IHS)
Lecturer: Strasser
Subject: Single period finance
Keywords: no arbitrage theory, utility maximization, asset pricing, log-normal models, risk neutrality
[edit] Unit 5
Time: 18.10.2008, 9:00 - 12:00, HS II (IHS)
Lecturer: Strasser
Subject: Multiperiod finance
Keywords: self-financing trading, no arbitrage theory, martingale measures, binomial trees, asset pricing
[edit] Unit 6
Time: 20.10.2008, 9:00 - 12:00, HS II (IHS)
Lecturer: Pötzelberger
Subject: Stochastic processes with continuous time
Keywords: Poisson process, Wiener process, martingale properties, quadratic variation
[edit] Unit 7
Time: 25.10.2008, 9:00 - 12:00, HS II (IHS)
Lecturer: Strasser
Subject: Optional stopping and martingales (continuous time)
Keywords: basic facts on stopping times and martingales with continuous time
[edit] Unit 8
Time: 27.10.2008, 9:00 - 12:00, HS II (IHS)
Lecturer: Pötzelberger
Subject: Applications of optional stopping
Keywords: first passage problems, reflection principle, Markov property
[edit] Unit 9
Time: 8.1.2009, 9:00 - 12:00, HS II (IHS)
Lecturer: Strasser
Subject: Stochastic integration
Keywords: Stieltjes integration, Stieltjes calculus (integration by parts, transformation theorem), integrals w.r.t. martingales, semimartingales, truncation lemma
[edit] Unit 10
Time: 13.1.2009, 9:00 - 12:00, HS II (IHS)
Lecturer: Strasser
Subject: Stochastic calculus for continuous processes
Keywords: integration by parts, quadratic variation and covariation, Ito-formula, stochastic exponential for continuous processes, multivariable Ito-formula
[edit] Unit 11
Time: 15.1.2009, 9:00 - 12:00, HS II (IHS)
Lecturer: Strasser
Subject: Introduction to financial models with continuous time
Keywords: self-financing trading, partial-differential equation, Black-Scholes model, asset pricing via partial diferential equations
[edit] Unit 12
Time: 20.1.2009, 9:00 - 12:00, HS II (IHS)
Lecturer: Pötzelberger
Subject: Stochastic differential equations
Keywords:
[edit] Unit 13
Time: 22.1.2009, 9:00 - 12:00, HS II (IHS)
Lecturer: Strasser
Subject: Advanced martingale theory (continuous time)
Keywords: local martingales, Doob-Meyer decomposition, compensators, Levy characterization of Wiener process, integral extension to predictable processes, martingale representation
[edit] Unit 14
Time: 27.1.2009, 9:00 - 12:00, HS II (IHS)
Lecturer: Pötzelberger
Subject: Change of measures
Keywords:
[edit] Unit 15
Time: 29.1.2009, 9:00 - 12:00, HS II (IHS)
Lecturer: Pötzelberger
Subject: Application of measure change to finance
Keywords:
