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Course Description To PDF
Course title Stochastic Processes
Course code EBC4004
ECTS credits 6,5
Assessement Whole/Half Grades
Period
Period Start End Mon Tue Wed Thu Fri
1 5-9-2016 28-10-2016 X X X
Level Advanced
Coordinator Michael Eichler
For more information: m.eichler@maastrichtuniversity.nl
Language of instruction English
Goals
The purpose of the course is to introduce students to the study of stochastic processes in discrete and continuous time. Students will have learned the essentials of the subject and should be able to apply the acquired theoretical tools to problems in econometrics, economics, finance, and other fields.
Description
Deterministic dynamic systems are usually not well suited for modelling real world dynamics in economics, finance and business. Allowing for random components in dynamic systems leads to stochastic dynamic modelling, which is based on stochastic processes. This course covers models of stochastic processes in discrete and continuous time. This includes Markov chains, Poisson processes and Brownian motion. We introduce various tools that are very useful for deriving and understanding the asymptotic properties of modern econometric techniques. They include the functional central limit theorem and stochastic integrals. Finally, we discuss stochastic differential equations and their applications in finance and related fields, e.g. for pricing financial derivatives.
Literature
Mikosch, T., (1998), Elementary stochastic calculus, World scientific Publishing, Singapore.
Reader.
Prerequisites
Only Master students can take Econometrics Master courses. Students require a solid background in mathematical statistics and probability theory on the level of the BSc Econometrics programme.
An advanced level of English.
Teaching methods PBL / Lecture / Assignment
Assessment methods Participation / Written Exam
Evaluation in previous academic year For the complete evaluation of this course please click "here"
This course belongs to the following programmes / specialisations
Master Business Research Methodology Electives
Master Business Research Track OR Methodology Electives
Master Business Research Track OR Track Operation Research Compulsory Courses
Master Economic and Financial Research Track Econometrics Electives
Master Economic and Financial Research Track Econometrics Track Econometrics Core Courses
Master Economic and Financial Research Electives
Master Econometrics and OR Actuarial Science
Master Econometrics and OR Econometrics
Master Econometrics and OR Mathematical Economics
Master Econometrics and OR Operations Research
Master Financial Economics Electives
SBE Exchange Master Master Exchange Courses
SBE Non Degree Courses Master Courses