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19300-01 - Lecture with practical courses: Random processes: Theory and applications from physics to finance (4 CP)
| Semester | fall semester 2022 |
| Course frequency | Every fall sem. |
| Lecturers | Jörg Lehmann (joerg.lehmann@unibas.ch, Assessor) |
| Content | Basics of probability theory; Random processes: General concepts; Markov processes: Master equation, Fokker-Planck equation, stochastic differential equations; Mathematical finance |
| Learning objectives | Basics of the theory of stochastic processes and an overview of selected applications |
| Bibliography | - N. G. van Kampen, Stochastic Processes in Physics and Chemistry, 3rd ed. (North Holland, Amsterdan, 1992). - C. W. Gardiner, Handbook of Stochastic Methods for Physics, Chemistry and the Natural Sciences, 2nd ed. (Springer, Berlin, 2007). - P. Wilmott, S. Howison and J. Dewynne: The Mathematics of Financial Derivatives, A Student Introduction (Cambridge University Press, Cambridge, 1995). |
| Comments | Lecture will start September 21nd at 10:15h. |
| Language of instruction | English |
| Use of digital media | No specific media used |
| Course auditors welcome |
| Interval | Weekday | Time | Room |
|---|---|---|---|
| wöchentlich | Wednesday | 09.00-10.15 | Physik, Seminarzimmer 3.12 |
| wöchentlich | Wednesday | 10.15-12.00 | Physik, Seminarzimmer 3.12 |
Dates
| Date | Time | Room |
|---|---|---|
| Wednesday 21.09.2022 | 09.00-10.15 | Physik, Seminarzimmer 3.12 |
| Wednesday 21.09.2022 | 10.15-12.00 | Physik, Seminarzimmer 3.12 |
| Wednesday 28.09.2022 | 09.00-10.15 | Physik, Seminarzimmer 3.12 |
| Wednesday 28.09.2022 | 10.15-12.00 | Physik, Seminarzimmer 3.12 |
| Wednesday 05.10.2022 | 09.00-10.15 | Physik, Seminarzimmer 3.12 |
| Wednesday 05.10.2022 | 10.15-12.00 | Physik, Seminarzimmer 3.12 |
| Wednesday 12.10.2022 | 09.00-10.15 | Physik, Seminarzimmer 3.12 |
| Wednesday 12.10.2022 | 10.15-12.00 | Physik, Seminarzimmer 3.12 |
| Wednesday 19.10.2022 | 09.00-10.15 | Physik, Seminarzimmer 3.12 |
| Wednesday 19.10.2022 | 10.15-12.00 | Physik, Seminarzimmer 3.12 |
| Wednesday 26.10.2022 | 09.00-10.15 | Physik, Seminarzimmer 3.12 |
| Wednesday 26.10.2022 | 10.15-12.00 | Physik, Seminarzimmer 3.12 |
| Wednesday 02.11.2022 | 09.00-10.15 | Physik, Seminarzimmer 3.12 |
| Wednesday 02.11.2022 | 10.15-12.00 | Physik, Seminarzimmer 3.12 |
| Wednesday 09.11.2022 | 09.00-10.15 | Physik, Seminarzimmer 3.12 |
| Wednesday 09.11.2022 | 10.15-12.00 | Physik, Seminarzimmer 3.12 |
| Wednesday 16.11.2022 | 09.00-10.15 | Physik, Seminarzimmer 3.12 |
| Wednesday 16.11.2022 | 10.15-12.00 | Physik, Seminarzimmer 3.12 |
| Wednesday 23.11.2022 | 09.00-10.15 | Physik, Seminarzimmer 3.12 |
| Wednesday 23.11.2022 | 10.15-12.00 | Physik, Seminarzimmer 3.12 |
| Wednesday 30.11.2022 | 09.00-10.15 | Physik, Seminarzimmer 3.12 |
| Wednesday 30.11.2022 | 10.15-12.00 | Physik, Seminarzimmer 3.12 |
| Wednesday 07.12.2022 | 09.00-10.15 | Physik, Seminarzimmer 3.12 |
| Wednesday 07.12.2022 | 10.15-12.00 | Physik, Seminarzimmer 3.12 |
| Wednesday 14.12.2022 | 09.00-10.15 | Physik, Seminarzimmer 3.12 |
| Wednesday 14.12.2022 | 10.15-12.00 | Physik, Seminarzimmer 3.12 |
| Wednesday 21.12.2022 | 09.00-10.15 | Physik, Seminarzimmer 3.12 |
| Wednesday 21.12.2022 | 10.15-12.00 | Physik, Seminarzimmer 3.12 |
| Modules |
Module Specialisation: Physics (Master's Studies: Nanosciences) Module: Electives in Data Science (Master's Studies: Data Science) Module: Mathematical Foundations (Master's Studies: Data Science) Module: Specialisation (Master's Studies: Physics) Vertiefungsfächer Theorie und Vertiefungsfächer Biologie (Master's Studies: Computational Biology and Bioinformatics) |
| Assessment format | continuous assessment |
| Assessment registration/deregistration | Reg.: course registration, dereg: cancel course registration |
| Repeat examination | no repeat examination |
| Scale | 1-6 0,5 |
| Repeated registration | as often as necessary |
| Responsible faculty | Faculty of Science, studiendekanat-philnat@unibas.ch |
| Offered by | Departement Physik |