Stochastic Calculus

Stochastic Calculus

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. I have studied mathematics and applied mathematics in France and financial engineering in London.

YOU WILL ALSO GET:

1. Lifetime Access

2. Q&A section with support

3. Certificate of completion

4. 30-day money-back guarantee

Learn or refresh your stochastic calculus with a full lecture, practical examples and 20+ exercises and solutions.

Url: View Details

What you will learn

• Derive and calculate stochastic processes and integrals
• Apply the Itô's lemma to a wide range of processes
• Identify martingales and Brownian motions

Rating: 4.5

Level: All Levels

Duration: 2.5 hours

Instructor: Thomas Dacourt