Lecture Summer Term 2018
Time Series Analysis
Lecturer: | Alexander Lindner | |
Class Teacher: | Dirk Brandes | |
Type: | MSc. Finance: Elective course in Financial Mathematics or Stochastic MSc. Mathematics/WiMa: Elective course in Financial Mathematics 2+1 SWS, 4 Credit Points | |
News: | None, so far. | |
Time and Venue: | Schedule of the course:
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Final Exam: | oral (no prerequisites). The oral exam takes 20 minutes. To attend the oral exam in either Time Series Analysis or Lévy Processes, write an e-mail to Eva Nacca with the date picked from the following list which fits you the most. Mrs. Nacca will then write you the specific time when your exam is going to take places at this date. The possible dates with the probable times are:
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Prerequisites: | Measure Theoretic Probability. | |
Contents: | This course covers the basic facts of time series analysis. Time series analysis is concerned with the description of true data through a stochastic model which is usually assumed to be stationary. The contents of the lecture include:
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Literature: | A list of reference books would cover the following works:
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Exercise sheets: | ||
Lecture notes: |