Instructor:
| Dirk Brandes |
Type:
| MSc. Finance course |
News: | There is a block course in the last week before the lecture regularly starts, so from 10th of Oct. until 14th of Oct. The schedule is as follow: - Mon., 10.10.2016: Lecture: 8:30-12:15 He18, 2.20.
- Tue., 11.10.2016: Lecture: 8:30-10:00 He18, 2.20; Tutorial: 10:45-12:15 He18, 2.20.
- Wed., 12.10.2016: Lecture: 8:30-10:00 He18, 2.20; Exercise Class: 10:45-12:15 He18, 2.20.
- Thu., 13.10.2016: Lecture: 8:30-12:15 He18, 2.20.
- Fri., 14.10.2016: Lecture: 8:30-10:00 He18, 2.20; Exercises Class: 10:45-12:15 He18, 2.20.
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| Time and Venue: | Schedule of the course:
- Lecture: Monday, 10:00-12:00, He18 - 2.20
- First regular* Lecture: 17/10/2016
- Last Lecture: 12/12/2016
- Exercise class: Friday, 13:00-14:00, He18 - E20
- First regular* Exercise class: 21/10/2016
- Last Exercise class: 13/01/2017
- Tutorial course: Friday, 12:00-13:00, He18 - E20
- First regular* Tutorial course: 21/10/2016
- Additional Tutorial: 9/01/2017
*after the block course week. |
Final Exam: | written exam on Friday, 20th January 2017, 12:00 - 14:00, He18 - E20, 90 minutes. To participate in the written exam, you have to register at campusonline.uni-ulm.de until Monday, 16th of January 2017. |
Prerequisites: | Analysis I+II and Linear Algebra I. |
Contents: | This course covers the basic facts from probability in a measure-theoretic approach. Specific topics are - Definition and properties of measure and Lebesgue integral.
- The fundamentals of probability: probability space, random variables, conditional expectation, modes of convergence, convolutions and characteristic functions, central limit theorem.
- An introduction to statistics: simple random sampling, introduction to estimation techniques.
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Literature: | A list of reference books would cover the following works:
- H. Bauer, Measure and Integration Theory, De Gruyter Studies in Mathematics, 2011.
- H. Bauer, Probability Theory, De Gruyter Studies in Mathematics, 2011.
- P. Billingsley, Probability and Measure, Wiley, 2012.
- W. Rudin, Real and Complex Analysis, McGraw-Hill International Editions, 1987.
- J. Jacod & P. Protter, Probability Essentials, 2nd edition, Springer, 2004.
- E. Kopp, J. Malczak & T. Zastawniak, Probability for Finance, Cambridge University Press, 2014.
- R. Leadbetter, S. Cambanis, V. Pipiras, A Basic Course in Measure and Probability, Cambridge University Press, 2014.
- A. N. Shiryaev, Probability, 2nd edition, Springer, 1995.
- D. Williams, Probability with Martingales, Cambridge University Press, 1991.
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Exercise sheets: | Moodle |
| Lecture notes: | Moodle | |
| Additional Material: | Refresher in Probability 1 Refresher in Probability 2 | |
