courses:fam:kainhofer_nummeth_sde
Table of Contents
AKVFM Numerische Verfahren für stochastische Prozesse und Differentialgleichungen
- University: FAM, Vienna University of Technology
- Lecturer: Reinhold Kainhofer
- Term: Spring Semester 2007
- Credits: 3 hours per week
General information about the course, topics, times and modalities can be found in TUWIS of the TU Wien (the course management system of the Vienna University of Technology)
Exercise Sheets and Further Material
- Exercise sheet 1 (until April 16), Student assignment
- Exercise sheet 2 (until June 4)
- Each student can select one of the exercises 10 to 17 (10 and 17 belong together!)
- All students also have to solve Exercises 18 to 22
- Exercise sheet 3 (until June 251)).
Literature
Levý-Processes
- Rama Cont, Peter Tankov. Financial Modelling with Jump Processes, Chapman & Hall/CRC Press, Financial Mathematics Series, Vol. 2, 2003.
- Paul Glasserman. Monte Carlo Methods in Financial Engineering, volume 53 of Applications of Mathematics. Springer-Verlag, 2004.
Stochastic Analysis and SDEs
- Thomas Mikosch. Elementary Stochastic Calculus with Finance in View, volume 6 of Advanced Series on Statistical Science & Applied Probability. World Scientific, 1998.
- Bernt Øksendal. Stochastic Differential Equations - An Introduction with Applications. Springer, 1998.
Numerical Methods for SDEs
- Peter Kloeden, Eckhard Platen. Numerical Solution of Stochastic Differential Equations, volume 23 of Applications of Mathematics. Springer-Verlag, 1995.
- Grigory Milstein, Michael Tretyakov. Stochastic Numerics for Mathematical Physics, Springer-Verlag, 2004.
1)
If someone manages to do the exercise until June 19, that would be even better, as we have more time then!
courses/fam/kainhofer_nummeth_sde.txt · Last modified: 2007/06/09 13:53 by reinhold