Lecture Winter Term 2016
|Class Teacher:||Martin Drapatz|
MSc Finance: Elective Course in Financial Mathematics or Stochastics
MSc Mathematics/Wima: Elective Course in Financial Mathematics
2+1 SWS lecture + exercise; 4 credit points
Time and Venue:
Lectures: Monday 12.15-14, He220;
First lecture: 12/10/2015;
Exercises: Tuesday 16.15-18, N24 - 131;
First exercise class: 20/10/2015;
Measure theoretic probability and basic knowledge of stochastic processes (Brownian motion, Poisson process)
Infinitely divisible distributions
oral (no prerequisites)
Lecture notes will be made available. Additionally please consult:
Sato, Ken-iti (2014): Lévy processes and infinitely divisible distributions. Cambridge, 2nd edition.
Applebaum, D. (2009) Lévy processes and stochastic calculus. Cambridge, 2nd edition.
Kyprianou, Andreas E. (2006): Introductory lectures on fluctuations of Lévy processes with applications. Springer.