Sumários
Lecture 24
16 Dezembro 2021, 12:30 • Telmo Peixe
Martingales: stochastic processes with stopping times (the Optional Stopping Theorem and the Wald's equation), and resolution of exercises.
Lecture 23
15 Dezembro 2021, 12:30 • Telmo Peixe
Martingales: stopping times, definition, properties, examples and resolution of exercises.
Lecture 22
9 Dezembro 2021, 12:30 • Telmo Peixe
- Martingales: definition, properties and examples.
- Presentation of the group work on applications of "Markov chains" to Mathematical Finance (chap. 10).
Lecture 21
2 Dezembro 2021, 12:30 • Telmo Peixe
- Clarification about conditional expectation.
- Presentation of the group work on applications of "Sums of iid processes: Limit Theorems" to Mathematical Finance (chap. 9).
- Martingale: definition.