MGF, Characteristic Function, Martingale | Part 2 Stochastic Calculus for Quantitative Finance
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7 күн бұрынIn this video, we will look at Moment Generating Functions, Characteristic Functions, Martingales and Gaussian Vectors.
Playlist of the course: • Stochastic Calculus fo...
Reference:
- Éléments de calcul stochastique pour l’évaluation et la couverture des actifs dérivés by Imen Ben Tahar, José Trashorras, and Gabriel Turinici.
- Stochastic Calculus for Finance II: Continuous-Time Models by Steven Shreve
- Brownian Motion, Martingales, and Stochastic Calculus by Jean-François Le Gall
@stochastip 3 күн бұрын
Hey! I hope you enjoyed this video. The really interesting part is coming up next with Brownian motion and Ito calculus. I have many ideas for animations and I’m super excited to share them with you. I will try to find time to work on it🥵 Btw, Thanks for the 100 subscribers! Like, subscribe, and stay tuned!😃
@kuleensasse6231 5 күн бұрын
Great stuff! Keep it up
@tamerlanbekber 3 күн бұрын
Great video, keep it up!
@issamelkadiri1015 3 күн бұрын
Banger, you graduated from a french school ?
@stochastip 3 күн бұрын
I went to Dauphine for my undergrad. Do you know them?
@issamelkadiri1015 2 күн бұрын
@@stochastip somehow yes
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