What you'll learn:
- Derive and calculate stochastic processes and integrals
- Apply the Itô's lemma to a wide range of processes
- Identify martingales and Brownian motions
- Stochastic Calculus
- σ-algebra
- Measure, Probability
- Martingale
- Brownian Motion
- Itô's Lemma
- Itô's Process
- Radon–Nikodym Theorem
- Girsanov Theorem
- Stopping Time
- Optional Stopping Theorem
Are you a maths student who wants to discover or consolidate your stochastic calculus? Are you a professional in the banking or insurance industry who wants to improve your theoretical knowledge?
Well then you’ve come to the right place!
Stochastic Calculus by Thomas Dacourt is designed for you, with clear lectures and over 20 exercises and solutions.
In no time at all, you will acquire the fundamental skills that will allow you to confidently manipulate and derive stochastic processes. The course is:
Easy to understand
Comprehensive
Practical
To the point
We will cover the following:
σ-algebra
Measure
Probability
Expectation
Independence, covariance
Conditional expectation
Stochastic process
Martingale
Brownian motion
Itô's lemma
Itô's process
Itô's isometry
Stochastic integral
Geometric Brownian motion
Quadratic variation
Integral martingale
Girsanov theorem
Change of measure
Radon nikodym theorem
Stopping times
Optional stopping theorem
These key concepts form the basis for understanding mathematical option pricing.
Along with the lectures, there are 20+ downloadable exercises with solutions provided which are designed to check and reinforce your understanding.
The instructor
I am Thomas Dacourt and I am currently working as a senior quantitative analyst for a prestigious investment bank in London. I have held various quant positions in equity, commodities and credit in London over the last 10 years. Ihave studied mathematics and applied mathematics in France and financial engineering in London.
YOU WILL ALSO GET:
Lifetime Access
Q&A section with support
Certificate of completion
30-day money-back guarantee
