Concept
Martingale (probability theory)
Related courses (13)
MATH-470: Martingales in financial mathematics
The aim of the course is to apply the theory of martingales in the context of mathematical finance. The course provides a detailed study of the mathematical ideas that are used in modern financial mat
COM-417: Advanced probability and applications
In this course, various aspects of probability theory are considered. The first part is devoted to the main theorems in the field (law of large numbers, central limit theorem, concentration inequaliti
MATH-431: Theory of stochastic calculus
Introduction to the mathematical theory of stochastic calculus: construction of stochastic Ito integral, proof of Ito formula, introduction to stochastic differential equations, Girsanov theorem and F
MATH-330: Martingales and Brownian motion
Introduction to the theory of discrete-time martingales including, in particular, the convergence and stopping time theorems. Application to branching processes. Introduction to Brownian motion and st
FIN-415: Probability and stochastic calculus
This course gives an introduction to probability theory and stochastic calculus in discrete and continuous time. The fundamental notions and techniques introduced in this course have many applicatio
FIN-609: Asset Pricing (2011 - 2024)
This course provides an overview of the theory of asset pricing and portfolio choice theory following historical developments in the field and putting
emphasis on theoretical models that help our unde
FIN-404: Derivatives
This course provides a detailed presentation of the standard models for the valuation and hedging of derivatives products such as European options, American options, forward contracts, futures contrac
MATH-101(g): Analysis I
Étudier les concepts fondamentaux d'analyse et le calcul différentiel et intégral des fonctions réelles d'une variable.
MATH-101(de): Analysis I (German)
Es werden die Grundlagen der Analysis sowie der Differential- und Integralrechnung von Funktionen einer reellen Veränderlichen erarbeitet.
MATH-432: Probability theory
The course is based on Durrett's text book
Probability: Theory and Examples.
It takes the measure theory approach to probability theory, wherein expectations are simply abstract integrals.
It takes the measure theory approach to probability theory, wherein expectations are simply abstract integrals.