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courses:fam:kainhofer_nummeth_sde [2007/05/18 15:44] – reinhold | courses:fam:kainhofer_nummeth_sde [2007/06/09 13:53] (current) – reinhold |
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General information about the course, topics, times and modalities can be found in [[http://tuwis.tuwien.ac.at/lva/105106/2007S|TUWIS of the TU Wien]] (the course management system of the Vienna University of Technology) | General information about the course, topics, times and modalities can be found in [[http://tuwis.tuwien.ac.at/lva/105106/2007S|TUWIS of the TU Wien]] (the course management system of the Vienna University of Technology) |
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===== Exercise Sheets ===== | ===== Exercise Sheets and Further Material ===== |
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* {{:courses:fam:kainhofer_nummeth_sde:nummeth_stochprozesse_beispiele1.pdf|Exercise sheet 1}} (until April 16), {{:courses:fam:kainhofer_nummeth_sde:aufgabenzuteilung_studenten.pdf|Student assignment}} | * {{:courses:fam:kainhofer_nummeth_sde:nummeth_stochprozesse_beispiele1.pdf|Exercise sheet 1}} (until April 16), {{:courses:fam:kainhofer_nummeth_sde:aufgabenzuteilung_studenten.pdf|Student assignment}} |
| * {{:courses:fam:kainhofer_nummeth_sde:nummeth_stochprozesse_existence_uniqueness_proof.pdf|Proof of the strong existence and uniqueness theorem for SDEs}} |
* {{:courses:fam:kainhofer_nummeth_sde:nummeth_stochprozesse_beispiele2.pdf|Exercise sheet 2}} (until June 4) | * {{:courses:fam:kainhofer_nummeth_sde:nummeth_stochprozesse_beispiele2.pdf|Exercise sheet 2}} (until June 4) |
* Each student can select one of the exercises 10 to 17 (10 and 17 belong together!) | * 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 | * All students also have to solve Exercises 18 to 22 |
| * {{courses:fam:kainhofer_nummeth_sde:nummeth_stochprozesse_beispiele3.pdf|Exercise sheet 3}} (until June 25((If someone manages to do the exercise until June 19, that would be even better, as we have more time then!))). |
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===== Literature ===== | ===== Literature ===== |
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=== Levý-Processes === | **Levý-Processes** |
* Rama Cont, Peter Tankov. //Financial Modelling with Jump Processes//, Chapman & Hall/CRC Press, Financial Mathematics Series, Vol. 2, 2003. | * 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. | * Paul Glasserman. //Monte Carlo Methods in Financial Engineering//, volume 53 of Applications of Mathematics. Springer-Verlag, 2004. |
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=== Stochastic Analysis and SDEs === | **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. | * Thomas Mikosch. //Elementary Stochastic Calculus with Finance in View//, volume 6 of Advanced Series on Statistical Science & Applied Probability. World Scientific, 1998. |
* Bernt 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. |
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| **Numerical Methods for SDEs** |
=== Numerical Methods for SDEs === | |
* Peter Kloeden, Eckhard Platen. //Numerical Solution of Stochastic Differential Equations//, volume 23 of Applications of Mathematics. Springer-Verlag, 1995. | * 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. | * Grigory Milstein, Michael Tretyakov. //Stochastic Numerics for Mathematical Physics//, Springer-Verlag, 2004. |