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Stochastic analysis intensive course

Jan Gairing


Schedule and Venue

Lecturer
Jan Gairing

Dates, Times and Venues:
08.05, 15.05. h.9.00-13.00: Room B 121

10.05, 11.05, h.15.00-17.00: Room B 349

The course will be in English


Course Description

The course offers a compact introduction into the stochastic calculus accompanying the lecture Financial Mathematics III. It specifically aimes at students who did not attend Financial Mathematics II.

Topics covered: Brownian motion, stochastic (Ito-) integral, Ito formula, Girsanov's theorem.


References

TBA