YoVDO

Probability and Stochastics for Finance

Offered By: NPTEL via YouTube

Tags

Statistics & Probability Courses Finance Courses Probability Courses Central Limit Theorem Courses Law of Large Numbers Courses Brownian Motion Courses

Course Description

Overview

This course provides the minimum mathematical requirements to study mathematical finance or more precisely the pricing of financial derivatives.


Syllabus

Lecture 1: Basic Probability.
Lecture 2: Interesting problems in probablity.
Lecture 3: Random Variables, Distribution Functions & Independence.
Lecture 5: Law of Large Numbers & Central Limit Theorem.
Lecure 4: Cheybyshev Inequality, Borel-Cantelli lemmas & related issues.
Conditional Expectation-I.
Conditional Expextation-II.
Martingales.
Brownian Motion-I.
Brownian Motion-II.
Brownian Motion-III.
Ito Integral-I.
Ito Integral-II.
Ito Calculus-I.
Ito Calculus-II.
Ito Integrals in Higher Dimension.
An Application to Ito Integrals I.
An Application to Ito Integral II.
Black Scholes Formula I.
Black Scholes Formula II.


Taught by

Probability and Stochastics for finance

Tags

Related Courses

Introduction to Probability, Statistics, and Random Processes
University of Massachusetts Amherst via Independent
Stochastic Processes
Indian Institute of Technology Delhi via Swayam
Introduction to Polymer Physics-IITR
Indian Institute of Technology Roorkee via Swayam
Path Integral Methods in Physics & Finance
Indian Institute of Technology Roorkee via Swayam
Biophysical Chemistry
NPTEL via YouTube