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Stochastic Processesand Finance

This class was created by Brainscape user Dominique Gabriela. Visit their profile to learn more about the creator.

By: Dominique Gabriela
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Decks in this class (14)

Chapter 2: Probability Spaces And Random Variables
Sample space 1,
Event 2,
Definition 211 f set of subsets s...
69  cards
Chapter 5: The binomial model
Arbitrage in one period model wit...,
Portfolio 2,
Def 51 value process price process 3
46  cards
Chapter 14: The Black-Scholes model
The black scholes market 1,
The black scholes market 2,
The black scholes market 3
33  cards
Chapter 7: Stochastic processes and martingale theory
M and c 1,
Martingale transform of c by m 2,
Martingale transform of c by m no...
29  cards
Chapter 3: conditional expectation and martingales
Conditional expectation consideri...,
For a prob space f p a rv x to r 2,
Unique best prediction 3
26  cards
Chapter 1: Expectation And Arbitrage
Long term winnings via law of lar...,
Expected return of playing a coin...,
Market 3
23  cards
Chapter 10: Brownian motion
Graphs of brownian motion 1,
Thm 1021 brownian motion 2,
De nition 1022 standard brownian ...
22  cards
Chapter 11: Stochastic integration
Area under f a random continuous ...,
Ito calculus 2,
Chapter 11 1 remark martingale tr...
19  cards
Chapter 15: Application and extension of the Black-Scholes model
Transaction costs and parity rela...,
Def 1511 constant portfolio 2,
Allowing portfolios to have optio...
18  cards
Chapter 4:Stochastic processes
Definition 401 a stochastic proce...,
Filtrations 2,
Random walks 3
18  cards
Chapter 12: Stochastic differential equation
Making sense of xt x0 0 t fu du 0...,
Solving sdes 2,
Sde integral form stochastic diff...
17  cards
Chapter 13: Connections between SDEs and PDE
Consider f t x where t 0 t and x ...,
Note solving f t t x t x f x t x ...,
Notation e t x p t x 3
13  cards
Chapter 6: Convergence of random variable
Modes of convergence 1,
Example 611 let u be a uniform rv...,
Example 611 let u be a uniform rv...
9  cards
Chapter 9: The transition to continuous time
Probability space continuous time 1,
Def 901 2,
Def 902 stochastic process xt is ...
8  cards

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Stochastic Processesand Finance

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