Stochastic Processes in Continuous Time
Course content
This course examines mathematical concepts for stochastic calculus. The topics include
- Introduction to continuous time stochastic processes
- Definition and properties of Brownian motion
- Semimartingales
- Stochastic integration
- Itô (change of variable) formula
- Theorems for applications (e.g., Girsanov’s theorem)
MSc Programme in Mathematics-Economics
MSc Programme in Mathematics
MSc Programme in Statistics
MSc Programme in Mathematics with a minor subject
Knowledge:
- Continuous time stochastic processes
- Stochastic integrals
- Itô formula and applications
- continuous semimartingales
- Stochastic differential equations
Skills: Ability to
- Explain central concepts of continuous time of stochastic processes
- Apply results from stochastic integration
- Apply Ito's formula
- Apply theorems from stochastic calculus such as Girsanov's theorem
- Describe properties of stochastic differential equations
Compentencies: Ability to
- Discuss and apply central methods and results from stochastic calculus
- Evaluate models based on stochastic integrals
4 hours of lectures pr week for 7 weeks
2 hours of exercises pr week for 7 weeks
See Absalon for a list of course literature.
Sandsynlighedsteori 2(Sand 2).
Academic qualifications equivalent to a BSc degree is
recommended.
This course is equivalent to the first seven weeks of NMAK24001U Mathematical Finance
Individual feedback can be received at the exercise classes upon active participation in exercise classes.
- ECTS
- 7,5 ECTS
- Type of assessment
-
Oral examination, 30 minutes (no preparation)
- Aid
- Without aids
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
- Exam period
-
Several internal examiners
- Re-exam
-
Same as the ordinary exam
Criteria for exam assessment
The student should convincingly and accurately demonstrate the knowledge, skills and competences described under Intended learning outcome.
Single subject courses (day)
- Category
- Hours
- Lectures
- 28
- Preparation
- 163
- Theory exercises
- 14
- Exam
- 1
- English
- 206
Kursusinformation
- Language
- English
- Course number
- NMAK24000U
- ECTS
- 7,5 ECTS
- Programme level
- Full Degree Master
- Duration
-
1 block
- Placement
- Block 1
- Schedulegroup
-
A
- Capacity
- No limitation – unless you register in the late-registration period (BSc and MSc) or as a credit or single subject student.
- Studyboard
- Study Board of Mathematics and Computer Science
Contracting department
- Department of Mathematical Sciences
Contracting faculty
- Faculty of Science
Course Coordinator
- Jesper Lund Pedersen (6-716c7a776c794774687b6f35727c356b72)
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Kursusinformation for indskrevne studerende