AKVFM Numerische Verfahren für stochastische Prozesse und Differentialgleichungen

General information about the course, topics, times and modalities can be found in TUWIS of the TU Wien (the course management system of the Vienna University of Technology)

Exercise Sheets and Further Material



  • Rama Cont, Peter Tankov. Financial Modelling with Jump Processes, Chapman & Hall/CRC Press, Financial Mathematics Series, Vol. 2, 2003.
  • Paul Glasserman. Monte Carlo Methods in Financial Engineering, volume 53 of Applications of Mathematics. Springer-Verlag, 2004.

Stochastic Analysis and SDEs

  • Thomas Mikosch. Elementary Stochastic Calculus with Finance in View, volume 6 of Advanced Series on Statistical Science & Applied Probability. World Scientific, 1998.
  • Bernt Øksendal. Stochastic Differential Equations - An Introduction with Applications. Springer, 1998.

Numerical Methods for SDEs

  • Peter Kloeden, Eckhard Platen. Numerical Solution of Stochastic Differential Equations, volume 23 of Applications of Mathematics. Springer-Verlag, 1995.
  • Grigory Milstein, Michael Tretyakov. Stochastic Numerics for Mathematical Physics, Springer-Verlag, 2004.
1) If someone manages to do the exercise until June 19, that would be even better, as we have more time then!
courses/fam/kainhofer_nummeth_sde.txt · Last modified: 2007/06/09 15:53 by reinhold

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