NMAK18010U Topics in Stochastic Calculus
MSc Programme in Actuarial Mathematics
MSc Programme in Statistics
MSc Programme in Mathematics-Economics
This course will be concerned with selcted topics in stochastic calculus such as, for example, stochastic integral (Ito's integral) with respct to continuous semimartingales, Ito's formula, The Levy characterization theorem, stochastic differential equations.
- Basic knowledge of the topics covered
- understand the concept of the stochastic integral
- be able to apply basic facts and theorems of stochastic calculus
- understand the concept of stochastic differential equations
To make the student operational and to give the student knowledge to pursue further applications where stochastic calculus plays a role.
- 7,5 ECTS
- Type of assessment
- Oral examination, 30minOral examination
30 minutes oral exam without time for preparation
- Only certain aids allowed
The student may bring notes to the oral exam, but they are only allowed to consult these in the first minute after they have drawn a question. After that, all notes must be put away.
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
Same as the ordinary exam.
Criteria for exam assesment
The student must in a satisfactory way demonstrate thathe/she has mastered the learning outcome of the course