Module 1 - Building Blocks of Quantitative Finance

In module one, we will introduce you to the rules of applied Itô calculus as a modeling framework. You will build tools using both stochastic calculus and martingale theory and learn how to use simple stochastic differential equations and their associated Fokker- Planck and Kolmogorov equations.

Sections

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The Random Behavior of Assets

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Binomial Model

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PDEs and Transition Density Functions

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Applied Stochastic Calculus 1

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Applied Stochastic Calculus 2

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Martingales

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Lecture order and content may occasionally change due to circumstances beyond our control. However, this will never affect the quality of the program.

Quantitative Risk & Return