MF001 Stochastical processes in financial mathematics

Faculty of Science
Autumn 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
The course is also listed under the following terms Autumn 2010 - only for the accreditation, Autumn 2008, Autumn 2009, Autumn 2010, Autumn 2011, Autumn 2011 - acreditation, Autumn 2012, Autumn 2013, Autumn 2014, Autumn 2015, Autumn 2016, autumn 2017, Autumn 2018, Autumn 2019, Autumn 2020, autumn 2021, Autumn 2022, Autumn 2023, Autumn 2024.