Information

Prof. Dr. Barbara Mastandrea

Oberseminar Stochastik

Dozenten:

Prof. Dr. Barbara Rüdiger-Mastandrea, Prof. Dr. Hanno Gottschalk

Seminar:

Beginn: 10.10.2018
Donnerstag, 12:00 - 14:00 Uhr in MI.13.05. / wöchentlich

Vorträge:

  • Vorbesprechung

    Datum: 10.10.2019

  • Vorbesprechung

    Datum: 17.10.19

  • Kein Termin

    Dozent: ---
    Datum: 24.10.2019

  • Kein Termin

    Datum: 31.10.19

  • Interest rate modeling: numerical approximation and simulation of continuous-time financial models

    Dozent: M. V.
    Datum: 28.11.19

    Abstract: his seminar session is concerned with the study of interest rates, using the models due to Vasicek and Cox-Ingersoll-Ross (CIR). The work is divided into four differentiated parts. First, a brief introduction to probability theory and stochastic processes is given. It lays the groundwork for all the later work on stochastic analysis and presents Brownian Motion in a natural and intuitive way. The second part of the study is devoted to familiarizing the attendant with tools for the solution of stochastic differential equations. Foremost, the Itô integral is defined and some basic notions on Itô calculus are given. Later on, popular results on existence and uniqueness of strong solutions are presented. These results are of great relevance for the following part. The third part of the work consists of applications in financial mathematics of all the theory studied in the previous chapters. In particular, Vasicek and CIR (one-step) interest rate models are studied in depth. In the fourth (and last) part of the master thesis, one gets to know the Euler Maruyama Scheme. Bounds of the strong and weak convergence orders of the method are given. Finally, Euler Maruyama is used to simulate processes derived from Vasicek and CIR models.

  • Singular stochastic PDEs, Part I

    Dozent: Dr. Baris Evren Ugurcan, G.13.18
    Datum: 05.12.2019

  • Large Deviations, Part I

    Dozent: Dr. Achref Lemjid and Mariem Abdellatif, MI.13.05
    Datum: 05.12.2019

  • Large Deviations, Part II

    Dozent: Dr. Achref Lemjid and Mariem Abdellatif, G.16.09, 16:00 - 18:00
    Datum: 06.12.2019

  • Singular stochastic PDEs, Part II

    Dozent: Dr. Baris Evren Ugurcan, G.16.09, 14:00 - 16:00
    Datum: 07.12.2019

  • On the anisotropic stable JCIR processes

    Dozent: Dr. Martin Friesen
    Datum: 12.12.2019

  • The Boltzmann process

    Dozent: Prof. Dr. Barbara Rüdiger
    Datum: 19.12.2019

  • The Heath-Jarrow-Morton-Musiela framework

    Dozent: Dennis Schroers
    Datum: 09.01.20

  • Master Vortrag

    Dozent: T. P.
    Datum: 16.01.20

  • Master Vortrag

    Dozent: T.P.
    Datum: 23.01.20

  • Quantum Electrodynamics - Veranschaulichung durch Feynman

    Dozent: K.A.
    Datum: 30.01.20

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