Stochastc Procsses-applictns I · Statistics
I learned a lot about stochastic process, especially how to derive the BS model.
Honestly nothing. I should not have taken this class, as I already struggled with probability to begin with, but I had tremendous difficulty in this class and have learned my lesson. I am dumfounded as to how I was able to score high on the majority of the homework assignments, let alone the midterm. When I sat down for the midterm, I can truthfully say I knew the answers to 2 out of the 5 total questions, yet somehow pulled out an 85%.
I learned basic knowledge about STOCHASTC PROCSSES, such as sigma-algebra, probability space, independence, as well as Ito process etc.
Stochastic calculus and basic measure theory.
-Basics of measure theory, stochastic process, Brownian motion, Ito's formula
Stochastic process, filtration, Ito's formula, isometry, multivariate.
Measure Theory Ito Processes Black Scholes Stochastic Integrals
Brownian motion, Ito formula, financial derivaives, etc...
This course is a theoretical math course related to various math courses like probability theory, measure theory and functional analysis. And hence it is a little bit challenging while you could at least understand our probability concepts like conditional expectation if you stick to the professor's lectures and work hard after class.
Things like Brownian Motion, Stochastic Integral, PDE and SDE, etc