1 |
Random walk, Central limit theorem, Brownian motion, martingale; from Shreve, most (but not all!) of Sections 3.1-3.3. |
2 |
Quadratic variation, stochastic integral of simple functions; from Shreve, Sections 3.4, 4.1 - 4.2 |
3 |
Construction of stochastic integral w.r.t. Brownian motion, properties (isometry), general integrands; from Shreve, Section 4.3 |
4 |
Itô-formula, bivariate extension, product rule; from Shreve Section 4.4 |
5 |
Lévy's characterization, Change of measure; from Shreve, parts of Section 4.6, Section 5.1 |
6 |
Girsanov's theorem, Martingale representation theorem, relevance for risk neutral pricing; from Shreve, Sections 5.2.1-5.2.4, 5.3 |
7 |
Stochastic differential equations; from Shreve, Sections 6.2, 6.3
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8 |
Connections to Partial differential equations, Feynman-Kac formula, stopping times; from Shreve, Sections 6.3, 6.4, 8.2 and Definition 8.3.1 |
9 |
(Compound) Poisson process, integrals w.r.t. jump processes; from Shreve, Section 11.1 - 11.3 |
10 |
Quadratic variation, Itô-formula for processes with jumps, change of measure for (compound) Poisson process; from Shreve, Sections 11.4, 11.5 | 11 |
Change of measure for (compound) Poisson process; from Shreve, Section 11.6 |