10.4 Feynman-Kac theorem
| 週次 | 課程內容 | 課程影音 |
|---|---|---|
| 單元七 Coutinuous-time Martingales 7.1 Stochastic process (1/2) | 線上觀看 | |
| 7.1 Stochastic process (2/2) | 線上觀看 | |
| 7.2 Uniform integrability | 線上觀看 | |
| 7.3 Martingale theory in continuous-time | 線上觀看 | |
| 7.4 Local martingales | 線上觀看 | |
| 7.5 Doob-Meyer decomposition | 線上觀看 | |
| 7.6 Semimartingales | 線上觀看 | |
| 單元八 Brownian Motions 8.1 Scaled random walk | 線上觀看 | |
| 8.2 Brownian motions | 線上觀看 | |
| 8.3 The Brownian sample paths | 線上觀看 | |
| 8.4 Exponential martingales | 線上觀看 | |
| 8.5 d-dimensional Brownian motions | 線上觀看 | |
| 單元九 Stochastic Integrals 9.1 Construction of stochastic integrals with respect to martingales (1/3) | 線上觀看 | |
| 9.1 Construction of stochastic integrals with respect to martingales (2/3) | 線上觀看 | |
| 9.1 Construction of stochastic integrals with respect to martingales (3/3) | 線上觀看 | |
| 9.2 Stochastic integrals with respect to semimartingales | 線上觀看 | |
| 9.3 Stochastic integrals with respect to local martingales | 線上觀看 | |
| 9.4 Itô formula (1/2) | 線上觀看 | |
| 9.4 Itô formula (2/2) | 線上觀看 | |
| 9.5 Integration by parts | 線上觀看 | |
| 9.6 Martingale representation theorem | 線上觀看 | |
| 9.7 Change of Measures | 線上觀看 | |
| 9.8 Girsanov theorem | 線上觀看 | |
| 9.9 Local times | 線上觀看 | |
| 單元十 Stochastic Differential Equations 10.1 Examples and some solution methods (1/2) | 線上觀看 | |
| 10.1 Examples and some solution methods (2/2) | 線上觀看 | |
| 10.2 An existence and uniqueness result | 線上觀看 | |
| 10.3 Weak and strong solutions | 線上觀看 | |
| 10.4 Feynman-Kac theorem | 線上觀看 | |
| 單元十一 Continuous-Time Models 11.1 Market portfolios and arbitrage | 線上觀看 | |
| 11.2 Equivalent local martingale measures | 線上觀看 | |
| 11.3 Completeness | 線上觀看 | |
| 11.4 Pricing for attainable contingent claim | 線上觀看 | |
| 11.5 Black-Scholes-Merton formula | 線上觀看 | |
| 11.6 The Greeks | 線上觀看 | |
| 11.7 Parity rrelations | 線上觀看 | |
| 單元十二 Hedging 12.1 Hedging strategy for the simple contingent claim 12.2 Delta and gamma hedging | 線上觀看 | |
| Appendix F、Characteristic Functions | 線上觀看 | |
| Appendix G、Differntial Equations | 線上觀看 | |
| Appendix H、Convex Analysis | 線上觀看 |
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