NMAK18010U  Topics in Stochastic Calculus

Volume 2018/2019

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. 

Learning Outcome


  • 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.

VidSand 1+2 or equivalent
4 hours of lectures per week for 7 weeks
7,5 ECTS
Type of assessment
Oral examination, 30min
Oral 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

  • Category
  • Hours
  • Lectures
  • 28
  • Preparation
  • 177
  • Exam
  • 1
  • Total
  • 206