An Introduction to Point Processes with Finance Applications
Professor Tomas Björk will deliver the PhD course An Introduction to Point Processes with Finance Applications (3 or 4 hp).Short description: The objective of this course is to give a short introduction to the martingale based theory of counting processes and market point processes on the real line. There will also be applications to finance. Course contents: Counting processes and marked point processes, intensities, predictability, stochastic integration w.r.t. point processes, absolutely continuous changes of measure, stochastic integral representation results, applications to finance.
2. Journal articles.
The last lecture on Thursday February 24, 2011 at 13-15 has been cancelled.
Written exam. Send your solutions in pdf-form to firstname.lastname@example.org no later than March 12.
Exam results. The follwoing students have succesfully passed the March 12, 2011 examination.
Björn Löfdahl Grelsson
Fabio Marcellus Lopes
Schedule of the course:
Rooms 3721 and 3733 are located at the Department of Mathematics, Lindstedtsvägen 25, 7th floor.
For access to Room 3733, a code is needed. Send an e-mail to the lecturer to get it.
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