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Type:
| MSc. Finance course (only) |
News: | There is a block course in the last week before the lecture regularly starts, so from 9th of Oct. until 12th of Oct. 2017 The schedule is as follow: - Mon., 09.10.2017: Lecture: 08:45-10:15 He18, 1.20. Tutorial: 10:30-12:00 He18, 1.20.
- Tue., 10.10.2017: Lecture: 08:45-10:15 He18, 2.20. Lecture: 10:30-12:00 He18, 2.20.
- Wed., 11.10.2017: Lecture: 08:45-10:15 He18, 2.20. Exercise Class: 10:30-12:00 He18, 2.20.
- Thu., 12.10.2017: Lecture: 08:45-10:15 He18, 2.20. Lecture: 10:30-12:00 He18, 2.20. Exercise Class: 13:00-14:30 He18, 2.20.
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| Time and Venue: | Schedule of the course from 16. Oct. until the christmas
- Lecture: Monday, 10:00-12:00, He18 2.20
- First Lecture: 16/10/2017
- Tutorial course: Wednesday, 08:00-09:00, He22 E04
- First Tutorial course: 18/10/2017
- Exercise class: Wednesday, 09:00-10:00, He22 E04
- First Exercise class: 18/10/2017
- Extra classes and tutorials: Friday, 08:00-10:00 He22 E03 (27.10., 03.11., 01.12., 08.12., 15.12.)
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Final Exam: | Final Exam: written, closed, 90 minutes. 1. 19th of January 2018, 12:15-13:45 in He. 18, 1.20. 2. 08th of March 2018, 10:15-11:45 in He. 18, 1.20.
To participate in the written exam, you have to register at , until Monday, 15th of January 2018. |
Prerequisites: | Analysis I+II and Linear Algebra I. |
Contents: | This course covers the basic facts from probability in a measure-theoretic approach. Specific topics are - Definition and properties of measure and Lebesgue integral.
- The fundamentals of probability: probability space, random variables, conditional expectation, modes of convergence, convolutions and characteristic functions, central limit theorem.
- An introduction to statistics: simple random sampling, introduction to estimation techniques.
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Literature: | A list of reference books would cover the following works:
- H. Bauer, Measure and Integration Theory, De Gruyter Studies in Mathematics, 2011.
- H. Bauer, Probability Theory, De Gruyter Studies in Mathematics, 2011.
- P. Billingsley, Probability and Measure, Wiley, 2012.
- W. Rudin, Real and Complex Analysis, McGraw-Hill International Editions, 1987.
- J. Jacod & P. Protter, Probability Essentials, 2nd edition, Springer, 2004.
- E. Kopp, J. Malczak & T. Zastawniak, Probability for Finance, Cambridge University Press, 2014.
- R. Leadbetter, S. Cambanis, V. Pipiras, A Basic Course in Measure and Probability, Cambridge University Press, 2014.
- A. N. Shiryaev, Probability, 2nd edition, Springer, 1995.
- D. Williams, Probability with Martingales, Cambridge University Press, 1991.
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Exercise sheets: | |
| Lecture notes: | | |
| Additional Material: | Refresher in Probability 1 Refresher in Probability 2 | |
