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AA MATH3734 Stochastic Calculus for Finance

This class was created by Brainscape user Dominique Gabriela. Visit their profile to learn more about the creator.

By: Dominique Gabriela
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Decks in this class (5)

1 basics
Let f r to rx_0 rconsiderx t f x ...,
Exp growth,
2d brownian motion
125  cards
2 Wiener Process or Brownian motion
Recapprobability spacervsfb r mea...,
Recaplemma linking sigma algebra ...,
Recap condition expectation
71  cards
3 Itô Calculus
Ito calculus,
In general for diff eqx t f x t sol,
Consider a graph time t against x...
145  cards
4 Stochastic Differential Equation
Stochastic differential equation ...,
Stochastic differential eq,
A solution of
14  cards
5 Applications in Finance
Assuming set up,
For financial markets we needproc...,
Risky asset model
32  cards

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AA MATH3734 Stochastic Calculus for Finance

  • Class purpose General learning

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