MGF, Characteristic Function, Martingale | Part 2 Stochastic Calculus for Quantitative Finance

Описание к видео MGF, Characteristic Function, Martingale | Part 2 Stochastic Calculus for Quantitative Finance

In this video, we will look at Moment Generating Functions, Characteristic Functions, Martingales and Gaussian Vectors.

Playlist of the course:    • Stochastic Calculus for Quantitative ...  

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

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