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… local martingale +3 More From Tiziano Vargiolu May 25th, 2022 24 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… girsanov theorem +5 More From Tiziano Vargiolu May 18th, 2022 38 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.… complex-valued stochastic integral +6 More From Tiziano Vargiolu May 18th, 2022 17 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… kolmogorov backward equation +5 More From Tiziano Vargiolu May 16th, 2022 45 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:… stochastic integral +5 More From Tiziano Vargiolu April 14th, 2022 30 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… absolutely continuous probabilities +6 More From Tiziano Vargiolu April 6th, 2022 26 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 March 30th, 2022 29 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… continuity +2 More From Tiziano Vargiolu March 9th, 2022 34 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 +3 More From Tiziano Vargiolu March 3rd, 2022 34 plays 0