Search for tag: "martingale property"

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Lecture 64: stochastic volatility models duration 1 hour 9 minutes Lecture 64: stochastic volatility models Lecture 64: stochastic volatility models	Lecture 64: stochastic volatility models The martingale representation theorem and stochastic volatility models. local martingale +3 More From Tiziano Vargiolu 21 plays 0
Lecture 58: the Girsanov theorem duration 33 minutes 33 seconds Lecture 58: the Girsanov theorem Lecture 58: the Girsanov theorem	Lecture 58: the Girsanov theorem The Girsanov theorem in the multidimensional case. Novikov's condition. girsanov theorem +5 More From Tiziano Vargiolu 35 plays 0
Lecture 57: Levy's characterization duration 36 minutes 2 seconds Lecture 57: Levy's characterization Lecture 57: Levy's characterization	Lecture 57: Levy's characterization Stochastic integral of complex-valued processes. Levy's characterization of a multidimensional Brownian motion. complex-valued stochastic integral +6 More From Tiziano Vargiolu 16 plays 0
Lecture 56: Kolmogorov backward equation and… duration 1 hour 8 minutes Lecture 56: Kolmogorov backward equation and… Lecture 56: Kolmogorov backward equation and Feynman-Kac representation	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. kolmogorov backward equation +5 More From Tiziano Vargiolu 41 plays 0
Lecture 34: multidimensional stochastic calculus duration 1 hour 22 minutes Lecture 34: multidimensional stochastic calculus Lecture 34: multidimensional stochastic calculus	Lecture 34: multidimensional stochastic calculus Multidimensional stochastic integrals: definition, linearity, mean and covariance matrix, martingale property, cross-variation. stochastic integral +5 More From Tiziano Vargiolu 26 plays 0
Lecture 26: change of probability with a… duration 52 minutes 57 seconds Lecture 26: change of probability with a… Lecture 26: change of probability with a filtration	Lecture 26: change of probability with a filtration Equivalent probability measures. Conditional expectation and martingales under the new probability. absolutely continuous probabilities +6 More From Tiziano Vargiolu 22 plays 0
Lecture 22: Links between SDEs and PDEs duration 27 minutes 33 seconds Lecture 22: Links between SDEs and PDEs Lecture 22: Links between SDEs and PDEs	Lecture 22: Links between SDEs and PDEs The Kolmogorov backward equation. kolmogorov backward equation +6 More From Tiziano Vargiolu 27 plays 0
Lecture 9: stochastic integral as a stochastic… duration 33 minutes 39 seconds Lecture 9: stochastic integral as a stochastic… Lecture 9: stochastic integral as a stochastic process	Lecture 9: stochastic integral as a stochastic process The stochastic integral is a continuous martingale. continuity +2 More From Tiziano Vargiolu 31 plays 0
Lecture 5: Brownian martingales duration 29 minutes 51 seconds Lecture 5: Brownian martingales Lecture 5: Brownian martingales	Lecture 5: Brownian martingales Examples of Brownian martingales: Brownian motion, exponential and square of a Brownian motion. brownian motion +3 More From Tiziano Vargiolu 32 plays 0