PřF:MF001 Stochastical processes in fina - Course Information
MF001 Stochastical processes in financial mathematics
Faculty of ScienceAutumn 2007 - for the purpose of the accreditation
- Extent and Intensity
- 2/1. (fasci plus compl plus > 4). Type of Completion: zk (examination).
- Teacher(s)
- RNDr. Marie Budíková, Dr. (lecturer)
doc. RNDr. Martin Kolář, Ph.D. (lecturer)
prof. RNDr. Gejza Wimmer, DrSc. (lecturer) - Guaranteed by
- prof. RNDr. Gejza Wimmer, DrSc.
Department of Mathematics and Statistics – Departments – Faculty of Science
Contact Person: prof. RNDr. Gejza Wimmer, DrSc. - Course Enrolment Limitations
- The course is offered to students of any study field.
- Course objectives (in Czech)
- Náhodná procházka, princip reflexe, Markovova vlastnost, Pólyova věta, zákony arcsinu, diskrétní martingaly a filtrace, martingalová transfor- mace,Wienerův proces, Cieselskiho konstrukce Brownova pohybu, spojité martingaly a filtrace.
- Syllabus (in Czech)
- Náhodná procházka, princip reflexe, Markovova vlastnost, Pólyova věta, zákony arcsinu, diskrétní martingaly a filtrace, martingalová transfor- mace,Wienerův proces, Cieselskiho konstrukce Brownova pohybu, spojité martingaly a filtrace.
- Literature
- J. Michael Steele, Stochastic Calculus and Financial Applications, ISBN 0387950168, Springer-Verlag, 2003
- GRIMMETT, Geoffrey R. and David STIRZAKER. Probability and random processes. 3rd ed. Oxford: Oxford University Press, 2001, xii, 596 s. ISBN 0-19-857222-0. info
- Language of instruction
- Czech
- Further Comments
- The course is taught annually.
The course is taught: every week. - Listed among pre-requisites of other courses
- Enrolment Statistics (Autumn 2007 - for the purpose of the accreditation, recent)
- Permalink: https://is.muni.cz/course/sci/autumn2007-forthepurposeoftheaccreditation/MF001