01:08:18 duration 1 hour 8 minutes
Lecture 56: Kolmogorov backward equation and…
Lecture 56: Kolmogorov backward equation and Feynman-Kac representation
The Kolmogorov backward equation. The Feynman-Kac representation formula in the whole space and in bounded domains. Application: barrier options.
01:02:55 duration 1 hour 2 minutes
Lecture 50: the Markov property
The Markov property. An example: stochastic volatility models. Infinitesimal generator.
33:13 duration 33 minutes 13 seconds
Lecture 23: the Feynman-Kac representation
Links between SDEs and PDEs: the Feynman-Kac representation.
27:33 duration 27 minutes 33 seconds
Lecture 22: Links between SDEs and PDEs
The Kolmogorov backward equation.
34:21 duration 34 minutes 21 seconds
Lecture 22: the Markov property
The Markov property.