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Probability and Stochastics for Finance. Instructor: Dr. Joydeep Dutta, Department of Humanities and Social Sciences, IIT Kanpur.
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Description
This course provides the minimum mathematical requirements to study mathematical finance or more precisely the pricing of financial derivatives. Topics covered in the lectures include: basic probability, random variables, distribution function and independence, Chebyshev inequality, Borel-Cantelli lemma, law of large numbers and central limit theorem, conditional expectation, martingales, Brownian motion, stochastic integrals, Ito calculus, and stochastic differential equations. (from nptel.ac.in)
Course content
- Lecture 01 – Basic Probability Unlimited
- Lecture 02 – Interesting Problems in Probability Unlimited
- Lecture 03 – Random Variables, Distribution Function and Independence Unlimited
- Lecture 04 – Chebyshev Inequality, Borel-Cantelli Lemma and Related Issues Unlimited
- Lecture 05 – Law of Large Number and Central Limit Theorem Unlimited
- Lecture 06 – Conditional Expectation Unlimited
- Lecture 07 – Conditional Expectation (cont.) Unlimited
- Lecture 08 – Martingales Unlimited
- Lecture 09 – Brownian Motion I Unlimited
- Lecture 10 – Brownian Motion II Unlimited
- Lecture 11 – Brownian Motion III Unlimited
- Lecture 12 – Ito Integral Unlimited
- Lecture 13 – Ito Integral (cont.) Unlimited
- Lecture 14 – Ito Calculus Unlimited
- Lecture 15 – Ito Calculus (cont.) Unlimited
- Lecture 16 – Ito Integral in Higher Dimension Unlimited
- Lecture 17 – Application of Ito Integrals Unlimited
- Lecture 18 – Application of Ito Integrals (cont.) Unlimited
- Lecture 19 – Black-Scholes Formula Unlimited
- Lecture 20 – Black-Scholes Formula (cont.) Unlimited
Instructor
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