Courses Master Display 2020-2021
|Course Description||To PDF|
|Course title||Stochastic Processes|
For more information: firstname.lastname@example.org
|Language of instruction||English|
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.
PLEASE NOTE THAT THE INFORMATION ABOUT THE TEACHING AND ASSESSMENT METHOD(S) USED IN THIS COURSE IS WITH RESERVATION. THE INFORMATION PROVIDED HERE IS BASED ON THE COURSE SETUP PRIOR TO THE CORONAVIRUS CRISIS. AS A CONSEQUENCE OF THE CRISIS, COURSE COORDINATORS MAY BE FORCED TO CHANGE THE TEACHING AND ASSESSMENT METHODS USED. THE MOST UP-TO-DATE INFORMATION ABOUT THE TEACHING/ASSESSMENT METHOD(S) WILL BE AVAILABLE IN THE COURSE SYLLABUS.
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.
Mikosch, T., (1998), Elementary stochastic calculus, World scientific Publishing, Singapore.
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||