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Course11110408920 lectures

Probability and Stochastics for finance

Prof.Joydeep Dutta · IIT Kanpur

Start with lecture 1 At NPTEL

Lectures

Module01

  1. Basic Probability Video
  2. Interesting Problems In Probability Video
  3. Random variables,distribution function and independence Video
  4. Chebyshev inequality, Borel-Cantelli Lemmas and related issues Video
  5. Law of Large Number and Central Limit Theorem Video

Module02

  1. Conditional Expectation-I Video
  2. Conditional Expectation-II Video
  3. Martingales Video
  4. Brownian Motion-I Video
  5. Brownian Motion-II Video

Module03

  1. Brownian Motion-III Video
  2. Ito Integral-I Video
  3. Ito Integral-II Video
  4. Ito Calculus-I Video
  5. Ito Calculus-II Video

Module04

  1. Ito Integral In Higher Dimension Video
  2. Application to Ito Integral I Video
  3. Application to Ito Integral II Video
  4. Black Scholes Formula I Video
  5. Black Scholes Formula II Video

Syllabus and materials

At NPTEL, as the course publishes them.

Credits and licence

Institution
IIT Kanpur
Department
Mathematics
Teacher
Prof.Joydeep Dutta
Level
Undergraduate
Language
English
Subjects
Mathematics
Source
NPTEL
Licence
CC BY-NC-SA, as NPTEL states it. Non-commercial use only. NPTEL's terms
Attribution
NPTEL states: "Distributed under Creative Commons Attribution-ShareAlike / CC BY - NC - SA", beside a BY-NC-SA badge.
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