KTH Mathematics  


Mathematical Statistics

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.

Literature:

1. Björk, T: ''An introduction to point processes''. (Lecture notes)

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 tomas.bjork@hhs.se no later than March 12.

Exam results. The follwoing students have succesfully passed the March 12, 2011 examination.

Haidar Al-Talibi

Rani Basna

Erland Ekheden

Thorbjörn Gudmundsson

Ali Hamdi

Mariana Khapko

Bing Lu

Björn Löfdahl Grelsson

Fabio Marcellus Lopes

Hiba Nassar

Johan Nykvist

Pierre Nyquist

Oskar Schyberg

Schedule of the course:

Day Date Time Place
Tuesday 25/1 10-12 3733
Thursday 27/1
 10-12 3721
Tuesday
1/2
 10-12 3733
Thursday
3/2 10-12 3721
Tuesday
8/2 10-12 3733
Thursday
10/2 10-12 3721
Tuesday
15/2 13-15 3733
Thursday
17/2 13-15 3721
Thursday
24/2 Cancelled

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.

Lecturer and examiner: Tomas Björk.
E-mail address: tomas.bjork@hhs.se

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Updated: 11/01-2011