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所在平台: Udemy |
课程主页: https://www.udemy.com/course/stochastic-calculus/
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**课程名称：** 随机微积分 **课程概述：** 本课程由Thomas Dacourt主讲，专为有志于深入探索或巩固随机微积分知识的数学专业学生，以及希望提升理论知识的银行或保险行业专业人士设计。 课程内容清晰易懂，提供超过20个附带答案的练习题，帮助学员快速掌握操作和推导随机过程的基本技能。课程具有以下特点： * **易于理解：** 讲解清晰，概念化繁为简。 * **内容全面：** 涵盖了随机微积分的核心概念。 * **实用性强：** 理论与实践相结合，为金融定价奠定基础。 * **直击要点：** 聚焦关键知识，高效学习。 **课程内容涵盖：** * σ-代数 * 测度 * 概率 * 期望 * 独立性、协方差 * 条件期望 * 随机过程 * 鞅 * 布朗运动 * 伊藤引理 * 伊藤过程 * 伊藤等距 * 随机积分 * 几何布朗运动 * 二次变差 * 积分鞅 * Girsanov定理 * 测度变化 * Radon-Nikodym定理 * 停时 * 可选停定理 **讲师介绍：** Thomas Dacourt，现任伦敦一家知名投资银行的高级量化分析师，在股票、商品和信贷领域拥有十年以上量化经验。他在法国学习数学及应用数学，并在伦敦学习金融工程。 **其他福利：** * 终身访问权限 * 问答区提供支持 * 结业证书 * 30天退款保证
Are you a maths student who wants to discover or consolidate your stochastic calculus? Are you a professional in the banking or insurance industry who wants to improve your theoretical knowledge?Well then you've come to the right place!Stochastic Calculus by Thomas Dacourt is designed for you, with clear lectures and over 20 exercises and solutions.In no time at all, you will acquire the fundamental skills that will allow you to confidently manipulate and derive stochastic processes. The course is:Easy to understandComprehensivePracticalTo the pointWe will cover the following:σ-algebraMeasureProbabilityExpectationIndependence, covarianceConditional expectationStochastic processMartingaleBrownian motionItô's lemmaItô's processItô's isometryStochastic integralGeometric Brownian motionQuadratic variationIntegral martingaleGirsanov theoremChange of measureRadon nikodym theoremStopping timesOptional stopping theoremThese key concepts form the basis for understanding mathematical option pricing.Along with the lectures, there are 20+ downloadable exercises with solutions provided which are designed to check and reinforce your understanding.The instructorI am Thomas Dacourt and I am currently working as a senior quantitative analyst for a prestigious investment bank in London. I have held various quant positions in equity, commodities and credit in London over the last 10 years. I have studied mathematics and applied mathematics in France and financial engineering in London. YOU WILL ALSO GET:Lifetime AccessQ & A section with supportCertificate of completion30-day money-back guarantee
