Probability and Stochastics for Finance
Probability and Stochastics for Finance. Instructor: Dr. Joydeep Dutta, Department of Humanities and Social Sciences, IIT Kanpur. This course provides the minimum mathematical requirements to study mathematical finance or more precisely the pricing of financial derivatives. Topics covered in the lectures include: basic probability, random variables, distribution function and independence, Chebyshev inequality, Borel-Cantelli lemma, law of large numbers and central limit theorem, conditional expectation, martingales, Brownian motion, stochastic integrals, Ito calculus, and stochastic differential equations. (from nptel.ac.in)
|Lecture 18 - Application of Ito Integrals (cont.)|
This lecture is based on Vasicek's Model of Interest Rates and Cox-Ingersoll-Ross Model (CIR Model).
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