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Lecture Notes

Martingales, Diffusions and Financial Mathematics

15 years 3 months ago
Martingales, Diffusions and Financial Mathematics
The notes cover several topics such as Measure Theory, Discrete Time Martingales, Discrete Time Option Pricing, Continuous Time, Martingales, Stochastic Integrals, Stochastic Calculus, Stochastic Differential Equations, Option Pricing in Continuous Time, Random Measures, Stochastic Calculus.
A.W. van der Vaart
Added 17 Jan 2009
Updated 17 Jan 2009
Authors A.W. van der Vaart
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