• University: FAM, Vienna University of Technology
• Lecturer: Reinhold Kainhofer
• Term: Spring Semester 2007
• Credits: 3 hours per week

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 sheet 1 (until April 16), Student assignment
• Proof of the strong existence and uniqueness theorem for SDEs
• Exercise sheet 2 (until June 4)
  • Each student can select one of the exercises 10 to 17 (10 and 17 belong together!)
  • All students also have to solve Exercises 18 to 22
• Exercise sheet 3 (until June 25¹⁾).

Levý-Processes

• 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.