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Content

Introduction to Stochastic Calculus

(Part of Finanzmathematik III)

Sorin Nedelcu


Schedule and Venue

Lectures

Sorin Nedelcu

Thu, 10 April, 16:00-18:00

 Fri, 11 April, 08:00-10:00

Room B 006

Exercises

Felix Liebrich

Mo, 14 April, 08:00-10:00

Tue, 15 April, 08:00-10:00

Wed, 16 April, 08:00-10:00

 

Room B 046

 


Course Description

Series of tutorials that will provide a short introduction to Stochastic Calculus for the students attending the Financial Mathematics III lecture.


References

C. Dellacherie and P. A. Meyer. Probabilities and Potential B: Theory of Martingales. North-Holland, Amsterdam, 1982.
I. Karatzas and S. E. Shreve. Brownian Motion and Stochastic Calculus. Springer, New York, second edition, 1991.
B. Oksendal. Stochastic Differential Equations: An Introduction with Applications. Springer, Berlin, sixth edition, 200


Exercises

Further details to be announced.