We will in particular study Brownian motion and martingales, Ito’s stochastic calculus, stochastic integration and martingale representation theorems, Ito’s Formula. We will present stochastic ...
Derivatives, financial instruments whose value derives from an underlying asset, serve diverse purposes in global markets. They enable investors to hedge risks, speculate on price movements and ...
The course gives an introduction to analytical techniques for partial differential equations, in particular to separation of variables. In addition the course treats qualititative properties of ...