Institut für Betriebswirtschaftslehre – Quantitative Betriebswirtschaftslehre

Case Studies in Management Science: Stochastic Models

Hier finden Sie die Unterlagen zur Vorlesung.

FS 2012

Syllabus FS 2012 (PDF, 49 KB)
Slides 1: Overview (PDF, 43 KB)
Slides 2: Introduction to R (PDF, 86 KB)
Slides 3: Probability (PDF, 96 KB)
Slides 4: Statistics (PDF, 66 KB)
Slides 5: Maximum Likelihood (PDF, 65 KB)
Slides 6: Monte Carlo Simulation (PDF, 70 KB)
Slides 7: Bayesian Estimation (PDF, 50 KB)
Slides 8: Markov Chain Monte Carlo (PDF, 57 KB)
Slides 9: Multivariate Distributions (PDF, 71 KB)
Slides 10: Mean-Variance Analysis (PDF, 91 KB)
Slides 11: Derivatives (PDF, 85 KB)
Slides 12: Stochastic Calculus (PDF, 75 KB)

Präsentation

Proposal for final presentation (PDF, 37 KB)
Default Probabilities (PDF, 134 KB)
History of US, UK, Japan Debt (PPTX, 1301 KB)
Northern Europe (PPTX, 211 KB)
Southern Europe and France (PDF, 342 KB)

FS 2011

Slides 1: Overview (PDF, 43 KB)
Slides 2: Probability (PDF, 96 KB)
Slides 3: Statistics (PDF, 66 KB)
Slides 4: Decisions (PDF, 50 KB)
Slides 5: Introduction to R (PDF, 96 KB)
Apple CSV data (CSV, 2 KB)
R example: Apple CAPM regression (TXT, 0 KB)
Slides 6: Monte Carlo Simulation (PDF, 73 KB)
R example: Monte Carlo (TXT, 2 KB)
Slides 7: Introduction to Derivatives (PDF, 74 KB)
Slides 8: Stochastic Calculus (PDF, 82 KB)
Slides 9: Black-Scholes Equation (PDF, 95 KB)
Slides 10: Numerical Methods in Derivative Pricing (PDF, 68 KB)
Slides 11: Beyond Ito Processes (PDF, 79 KB)
R example: Simulating the Wiener Process (TXT, 1 KB)
R example: Simulation using Ito's Lemma (TXT, 1 KB)
R example: Pricing Calls and Puts (TXT, 1 KB)
R example: Pricing Calls Using Binomial Trees (TXT, 0 KB)
R example: Pricing Calls Using Binomial Trees (Optimized) (TXT, 0 KB)
R example: Pricing Calls Using Monte Carlo (TXT, 0 KB)
R example: Pricing Calls Using Monte Carlo (Optimized) (TXT, 0 KB)
S&P 500 CSV data (CSV, 23 KB)
R example: Estimating S\&P 500 Volatility (TXT, 1 KB)
Slides 12: Maximum Likelihood (PDF, 72 KB)
R example: EWMA Likelihood Estimate (TXT, 1 KB)
Slides 13: Bayesian Estimation (PDF, 102 KB)
Slides 14: Markov Chain Monte Carlo (PDF, 62 KB)
R example: Markov Chain Monte Carlo (TXT, 0 KB)
R example: EWMA Bayesian Estimate (TXT, 1 KB)
Slides 15: Multivariate Distributions (PDF, 79 KB)
R example: Simulating multivariate normal (TXT, 1 KB)
Slides 16: Mean-Variance Analysis (PDF, 102 KB)
R example: Mean-Variance Analysis (TXT, 1 KB)
Slides 17: More on Multivariate Distributions (PDF, 124 KB)
R example: Simulating Elliptical Distributions (TXT, 1 KB)
Slides 18: Copulas (PDF, 143 KB)
R example: Simulating and Estimating Copulas (TXT, 1 KB)
Slides 19: Waiting for Disaster (PDF, 119 KB)
Slides 20: Credit Risk (PDF, 95 KB)
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