Sumários
Brownian motion
8 Setembro 2026, 11:30 • João Guerra
Definition of standard Brownian motion and Brownian motion with drift.
Main properties of Brownian motion.
Processes related to Brownian motion: correlated Brownian motion, Geometric Brownian motion. ~
Properties of Geometric Brownian motion.
R scripts examples to simulate Brownian motion and geometric Brownian motion trajectories.
Presentation and introduction to the course and Brownian motion
7 Setembro 2026, 12:00 • João Guerra
Presentation of the course: Syllabus, bibliography, assessment. Introduction to the history of stochastic calculus and mathematical finance. Introduction to Brownian motion.
Definition of stochastic process and examples.
Definition of Brownian motion.