MM811: Stochastic Differential Equations II (10 ECTS)

STADS: 13004301

Level
Master's level course

Teaching period
The course is offered in the autumn semester.
Offered according to needs.

Teacher responsible
Email: njn@imada.sdu.dk

Timetable
There is no timetable available for the chosen semester.

Comment:
Ubegrænset deltagerantal. 3+4. kvartal.

Prerequisites:
None

Academic preconditions:
The content of the course MM802 Stochastic Differential I must be known.

Course introduction
Applications of Ito integral to diffusion processes and markets.

Expected learning outcome
At the end of the course the student will be able to:
• give an oral presentation of the statement and proofs related to any subject on a previously given list of topics within the course syllabus
• formulate the oral presentation in a mathematically correct way
• use Girsanov's theorems
• find the optimal stopping times in concrete market situations
• explain option pricing for both european and american options
• answer supplementary questions from the teacher and external examinator on definitions and results from the course syllabus

Subject overview
Diffusion Processes. Girsanov's theorems. Optimal stopping. Stochastic control and markets.

Literature
There isn't any litterature for the course at the moment.

Website
This course uses e-learn (blackboard).

Prerequisites for participating in the exam
None

Assessment and marking:
Oral examination, grades according to the danish 7-point scale og external censorship.

Reexamination according to the rules approved by the Study Board.

Expected working hours
The teaching method is based on three phase model.

Forelæsninger: 60 timer
Educational activities

Language
This course is taught in English, if international students participate. Otherwise the course is taught in Danish.

Course enrollment
See deadline of enrolment.

Tuition fees for single courses
See fees for single courses.