Courses Master Display 2024-2025

Course Description To PDF
Course title Stochastic Processes
Course code EBC4004
ECTS credits 6,5
Assessment Whole/Half Grades
Period
Period Start End Mon Tue Wed Thu Fri
1 2-9-2024 20-10-2024 X L
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
This course is in transition for the master Business Research.
See the Master Education and Examination Regulations for more information.

The following rule applies to master Business Research students who started the programme prior to academic year 2024-2025.
TRANSITIONAL REGULATION (EBC4004):
The master Business Research has been discontinued.
Courses of the Business Research master’s programme will continue to be offered until and including academic year 2025-2026 with exam opportunities running until and including 2026-2027.


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 (indicative; course manual is definitive) PBL / Lecture / Assignment
Assessment methods (indicative; course manual is definitive) 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 - No specialisation Transitional Regulation
Master Business Research - Operations Research Transitional Regulation
Master Econometrics and Operations Research Compulsory Course(s)
Master Economic and Financial Research - Econometrics Year 1 Compulsory Course(s)
Master Economic and Financial Research - No specialisation Elective Course(s)
Master Financial Economics - Asset Pricing Elective Course(s)
Master Financial Economics - Banking Elective Course(s)
Master Financial Economics - Financial Analysis Elective Course(s)
Master Financial Economics - No specialisation Elective Course(s)
SBE Exchange Master Master Exchange Courses
SBE Non Degree Courses Master Courses