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Last updated:

September 23, 2023


Unlimited Duration


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Unlimited Duration

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Probability and Stochastics for Finance. Instructor: Dr. Joydeep Dutta, Department of Humanities and Social Sciences, IIT Kanpur.

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 Curriculum

  • 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

About the instructor

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