Stochastic analysis intensive course
Dates, Times and Venues:
10.05, 11.05, h.15.00-17.00: Room B 349
The course will be in English
The course offers a compact introduction into the stochastic calculus accompanying the lecture Financial Mathematics III. It specifically aimes at students who did not attend Financial Mathematics II.
Topics covered: Brownian motion, stochastic (Ito-) integral, Ito formula, Girsanov's theorem.