Class and Tutorial Teacher:
|Type:||MSc. Finance elective course|
There is a block course in the week before the regular start of the lecture period, so from 8th of Oct. until 12th of Oct.
The schedule is as follow:
- Mon., 08.10.2018: Lecture: 8:45-10:15 He18, 2.20. Lecture: 10:30-12:00 He18, 2.20.
- Tue., 09.10.2018: Tutorial: 8:45-10:15 He18, 2.20. Lecture: 10:30-12:00 He18, 2.20.
- Wed., 10.10.2018: Lecture: 8:45-10:15 He18, 2.20. Exercise Class: 10:30-12:00 He18, 2.20.
- Thu., 11.10.2018: Lecture: 8:45-10:15 He18, 2.20. Lecture: 10:30-12:00 He18, 2.20.
- Fri., 12.10.2018: Exercise Class: 8:45-10:15 He18, 1.20.
|Time and Venue:||Schedule of the course from 15th October until Christmas:|
- Lecture: Monday, 10:00-12:00, He18 - 2.20
- First Lecture: 15/10/2018
- Additional Lecture: 8:30-10:00 19/11/2018
- Exercise class: Friday, 08:00-09:00, He18 - E20
- First Exercise class: 19/10/2018
- Tutorial course: Friday, 09:00-10:00, He18 - E20
- First Tutorial course: 19/10/2018
- Additional Exercise Classes/Tutorial Courses: Monday, 08:30-10:00, He18 - 2.20. (12/11/2018 and 10/12/2018)
written and closed exam of 90 minutes on Monday, 21st January 2019, 10:00-12:00, He18 - 2.20.
Retake of the exam on Thursday, 7th March 2019, 10:00-12:00, He18 - 1.20.
To participate in the written exam, you have to register at campusonline.uni-ulm.de until Wednesday, 16th of January 2019.
Analysis I+II and Linear Algebra I.
This course covers the basic but nevertheless relevant (especially for Financial Mathematics I) topics of probability theory in a measure-theoretic approach.
Specific topics are
- Definition and properties of measure and the Lebesgue integral.
- The fundamentals of probability: probability space, random variables, conditional expectation, modes of convergence, convolutions and characteristic functions, central limit theorem.
- An introduction to statistics: simple random sampling, introduction to estimation techniques.
|Available in the library. |
- H. Bauer, Measure and Integration Theory, De Gruyter Studies in Mathematics, 2011.
- H. Bauer, Probability Theory, De Gruyter Studies in Mathematics, 2011.
- P. Billingsley, Probability and Measure, Wiley, 2012.
- W. Rudin, Real and Complex Analysis, McGraw-Hill International Editions, 1987.
- J. Jacod & P. Protter, Probability Essentials, 2nd edition, Springer, 2004.
- E. Kopp, J. Malczak & T. Zastawniak, Probability for Finance, Cambridge University Press, 2014.
- R. Leadbetter, S. Cambanis, V. Pipiras, A Basic Course in Measure and Probability, Cambridge University Press, 2014.
- A. N. Shiryaev, Probability, 2nd edition, Springer, 1995.
- D. Williams, Probability with Martingales, Cambridge University Press, 1991.
Refresher in Probability 1
Refresher in Probability 2