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

Stochastip
Stochastip
972
0
Published 2024-07-06
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
All Comments (8)
  • @stochastip
    Hey! I hope you enjoyed this video. The really interesting part is coming up next with Brownian motion and Ito calculus. I have many ideas for animations and I’m super excited to share them with you. I will try to find time to work on it🥵 Btw, Thanks for the 100 subscribers! Like, subscribe, and stay tuned!😃
  • @mohammedbelgoumri
    I'm a bit confused, if is gaussian for any u, don't we get that Xi is gaussian by substituting u=ei, the ith basis vector?