Statistical Methods in Finance 2017

Dec 16 - 19, 2017


Introduction to Stochastic Calculus

by Rajeeva Laxman Karandikar

The workshop will give introduction to Conditional Expectation, Martingales, Stopping times, Browinian Motion, Stochastic Integral and Ito formula. The workshop is aimed at students and the only previous background expected is familiarity with probability theory. Having some introduction to Markov Chains will be useful.