Sumários

Properties of the indefinite stochastic integral

18 Março 2016, 14:00 • João Guerra

Properties of the indefinite stochastic integral.

The Itô formula. Examples and exercises.

Stochastic integral

15 Março 2016, 14:00 • João Guerra

Stochastic integral for adapted processes.

The indefinite stochastic integral. Properties.

Examples.

Brownian motion and stochastic integral for simple processes

11 Março 2016, 14:00 • João Guerra

Brownian motion. Martingales based on Brownian motion. Examples.

The total variation and the quadratic variation of Brownian motion.

Stochastic integral: motivation and the Riemann-Stieltjes integral.

Simples processes. Stochastic integral for simple processes.

Brownian motion

4 Março 2016, 14:00 • João Guerra

Brownian motion: Definition, continuous
and nondifferentiable sample paths.
Main properties of Brownian motion.
Brownian motion with drift. Geometric Brownian motion. The Brownian bridge.
Martingales and Brownian motion.

Martingales in continuous time

26 Fevereiro 2016, 14:00 • João Guerra

The Binomial model. Risk neutral measure. Pricing of derivatives and options by risk neutral valuation.

Martingales in continuous time.