Stochastic Calculus: Interest Rate Models

This lecture covers a crash course on stochastic calculus, focusing on Brownian motion, stochastic integral, Itô formula, Girsanov theorem, and arbitrage pricing theorem in the context of interest rate models. It explains stochastic processes, including adapted and martingale processes, and Gaussian processes. The lecture also delves into stochastic integral, Itô processes, Itô formula, integration by parts, stochastic exponential, Bayes' rule, Girsanov theorem, and the application of the arbitrage pricing theorem in financial modeling.