Itô stochastic integrals

28 Setembro 2012, 10:00 • João Guerra

Itô stochastic integrals of simple processes. Examples and properties.

Itô stochastic integrals of adapted processes. Examples and properties.

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Martingales and introduction to stochastic calculus

25 Setembro 2012, 10:00 • João Guerra

Martingales in continuous time. Examples and exercises.

Stochastic integrals and stochastic calculus: motivation and introduction.

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Geometrical Brownian motion, Martingales.

21 Setembro 2012, 10:00 • João Guerra

Brownian motion and geometrical Brownian motion.

Conditional Expectation. Main properties.

The concept of filtration in a probability space.

Martingales in discrete time. Main properties.

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Course overview. Brownian motion.

18 Setembro 2012, 10:00 • João Guerra

Course overview. Programme, bibliography, assessment.

Introduction and overview: some background and history.

Stochastic processes: general definitions.

Brownian motion: definition and main properties.

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