Stochastic Calculation
Brownian Movement. Martingale in continuous time. Integral of Itô. Itô formula. Stochastic Differential Equations. Representation of martingales. Measure change. Feynman-Kac formula.
Basic Information
Workload
60 hours
Requirements
Measure, Integration and Probability
Mandatory:
- Steele. Stochastic Calculus and Financial Applications . Springer.
- Grimmett e Strirzaker. Probability and Random Processes. Oxford.
- Karatzas e Shreve. Brownian Motion and Stochastic Calculus. Springer
Complementary:
- Oksendal. Stochastic Differential Equations: An Introduction with Applications. Springer.
- Rogers, Williams. Diffusions, Markov Processes and Martingales, Vol 1. Cambridge.
- Rogers, Williams. Diffusions, Markov Processes and Martingales, Vol 2. Cambridge.
- Williams. Probability with Martingales. Cambridge.
- Friedman. Stochastic Differential Equations and Applications. Dover.