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Course contents

Stochastic processes find applications in a wide variety of fields, and offer a refined and powerful framework to examine and analyse a wide variety of time series. This course is aimed at furthering the understanding of how to apply the basic theory (covered in the basic course) to real world measurements, and to further develop the ability to communicate scientific results.

The course consists of a lecture, a computer exercise, and a project.

Higher education credits: 3,0 Level: A
Language of instruction: This course may be offered in English (if non-Swedish speaking students are attending).
Recommended prerequisites: Basic course in stationary stochastic processes (this course may be taken concurrently). Ability to use Matlab.
Assessment: Written and oral project presentation. The presentation takes place in late May or early June.
Literature: Additional literature may be assigned depending on the project.
Time: The course starts on Thursday, March 19, 2009, at 13.15, in MH:227; it is possible to register for the course during the initial meeting, when an overview of the course will also be presented, and students will be requested to hand in their project preferences. Projects are normally done in groups of 2 to 4 students; currently offered projects can be found here. A lecture on complementing material is held on Thursday, March 26, 2009, at 13.15-15, in MH:309A.
Computer exercise: May 13th, at 13.15-15, in MH:230. Download.

People

Lecturer: Andreas Jakobsson, ph: 046-222 4520, email: aj@maths.lth.se
Teaching assistant: Naveed Butt, ph: 046-222 9864, email: naveed@maths.lth.se
Course secretary: Aurelia Vogel, ph: 046-222 4577, email: Aurelia.Vogel@matstat.lu.se.

Suitable further courses

FMS 110/MAS 222 Time series analysis.
FMS 161/MAS 229 Financial statistics.
FMS 170/MAS 232 Valuation of derivative assets.

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