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Indian Institute of Technology Kanpur

Probability and Stochastics for finance

Indian Institute of Technology Kanpur and NPTEL via Swayam

Overview

This course provides the minimum mathematical requirements to study mathematical finance or more precisely the pricing of financial derivatives.

Syllabus

Week 1:
Basic Probability
Interesting problems in probablity
Random variables,distribution functions and independence
Chebyshev inequality,Borel-Cantelli lemmas and related issues
Law of Large Numbers and Central Limit Theorem

Week 2:
Conditional Expectation
Martingales
Brownian Motion

Week 3:
Deterministic vs random differential equation
Stochastic Integrals
Ito Calculus

Week 4:
Stochastic Differential Equations:Definitions and Examples
Properties of the solution of stochastic differential equations

Taught by

Joydeep Dutta

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Reviews

5.0 rating, based on 1 reviews

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  • Anonymous

    Anonymous completed this course.

    Got an opportunity to do his classroom course as a part of my college curriculum at IIT Kanpur. Extremely liked the course and the course serves as a great bridge for people who have not much idea about the maths behind it.

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