18. Itō Calculus c squared financial

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एमआईटी 18.एस096 वित्त में अनुप्रयोगों के साथ गणित में विषय, फॉल 2013 पूरा पाठ्यक्रम देखें: प्रशिक्षक: चोंगबम ली यह व्याख्यान इटोइक कैलकुलस के पीछे के सिद्धांत की व्याख्या करता है। लाइसेंस: Creative Commons BY-NC-SA अधिक जानकारी के लिए और अधिक पाठ्यक्रम पर .

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18. Itō Calculus

18. Itō Calculus

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18. Itō Calculus
c squared financial
आप हमारी वेबसाइट पर केवल ऑनलाइन पैसे कमाने के तरीकों के बारे में सबसे पूर्ण और विस्तृत जानकारी देख सकते हैं: यहाँ और देखें
आप हमारी वेबसाइट पर केवल ऑनलाइन पैसे कमाने के तरीकों के बारे में सबसे पूर्ण और विस्तृत जानकारी देख सकते हैं: यहाँ और देखें

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46 comments

استاذ عبد الله محمد 28/11/2021 - 6:10 Chiều

Peace be upon you, thank you for this valuable lecture

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Abhishek Yogi 28/11/2021 - 6:10 Chiều

thanks

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Dave H 28/11/2021 - 6:10 Chiều

51:00 LOL Hearing il , which means one in Korean surprised me, professor!!! Yeah, I'm Korean!

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Chad Gregory 28/11/2021 - 6:10 Chiều

24:18 eat box …. hey ladies 😉

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yli 28/11/2021 - 6:10 Chiều

40:00 Damn, nobody ever told me this!

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ndu ndu 28/11/2021 - 6:10 Chiều

loot at that chalk

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dummyIndices 28/11/2021 - 6:10 Chiều

Best discourse on Ito's Lemma, amazing work Prof. Lee.

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валерий соколов 28/11/2021 - 6:10 Chiều

even the definition of the riemann integral isn't correctly

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валерий соколов 28/11/2021 - 6:10 Chiều

m*df/dx should be replaced by m*df/dt he bad knows math

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валерий соколов 28/11/2021 - 6:10 Chiều

always has big mistakes

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валерий соколов 28/11/2021 - 6:10 Chiều

THM isn't equal lemma

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валерий соколов 28/11/2021 - 6:10 Chiều

Kant was right.
lot of identity little thought

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FlickerFlame 28/11/2021 - 6:10 Chiều

Can someone just tell me the vibe of this? Thanks.

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Pedro Alonso Cazorla Saravia 28/11/2021 - 6:10 Chiều

The stochastic integral should be defined first. The "differential" is just a notation.

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Eleonora Formato née Szczepanowski (EllieAdrift) 28/11/2021 - 6:10 Chiều

MIT OpenCourseWare
18. Itõ Calculus
Instructor: Choongbum Lee

0:50 min … Brownian …

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Farmer Kevin 28/11/2021 - 6:10 Chiều

I'm too dumb but still make 240k a year, and for that I'm out. I didn't even finish college.

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Anthony Davolio 28/11/2021 - 6:10 Chiều

was trying to find a lognormal variance’s dependence on time and a rigorous and long venture was answered in the first minute

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Xuanyi Du 28/11/2021 - 6:10 Chiều

I am a high school student I understand nothing about this.

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Kingshuk Dutta 28/11/2021 - 6:10 Chiều

What is a drift term? Why is it necessary?

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Maxime Grossman 28/11/2021 - 6:10 Chiều

Wish i could be in this class.

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Jeong Ha Cho 28/11/2021 - 6:10 Chiều

우왕 학교 선배다ㅋㅋㅋ 저도 카이스트 수학과에요.

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PTOP 28/11/2021 - 6:10 Chiều

This guy just saved my life omygad

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abdul hoyyi 28/11/2021 - 6:10 Chiều

Thank You Dr. Lee

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Stanislav Atanasov 28/11/2021 - 6:10 Chiều

A minor point. Dr. Lee mentioned a few times "sum of normal variables is normal." This is true for independent normal variables but not in general. In the context of the video, the variables were independent (changes of Brownian motions over distinct intervals), so the statements remain correct.

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Beatriz Juárez 28/11/2021 - 6:10 Chiều

Wow

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Li Lin 28/11/2021 - 6:10 Chiều

Thank you so much to post this video! He explained everything very clear. Better than my teacher. It really helped me a lot.

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James Huang 28/11/2021 - 6:10 Chiều

He is great

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David Guo 28/11/2021 - 6:10 Chiều

At 20:05, how did he obtain the values of mu and sigma?

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Seiko van Paath 28/11/2021 - 6:10 Chiều

Some notable Timestamps:
0:00:25 Itō Calculus
0:12:33 Ito’s lemma
0:40:57 Adapted processes
1:00:18 Change of Measure
1:05:32 Equivalence of probability distributions
1:13:18 Girsanov’s theorem

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115 Stig 28/11/2021 - 6:10 Chiều

That blackboard is clean as

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Mike Heese 28/11/2021 - 6:10 Chiều

Perfect explanation!

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Sahil Haridas 28/11/2021 - 6:10 Chiều

That chalk is amazingly soothing and satisfying

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Bolun Dai 28/11/2021 - 6:10 Chiều

Change of measure: 1:00:20

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xXchakirosXxKiller 28/11/2021 - 6:10 Chiều

Perfect !

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jiahui zeng 28/11/2021 - 6:10 Chiều

he is so great, when explaining these concepts so well,,i cry dont know what i could do without this !

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Lina Palacios 28/11/2021 - 6:10 Chiều

🚀 thx!!

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phil pap 28/11/2021 - 6:10 Chiều Reply
Fakta Merapu 28/11/2021 - 6:10 Chiều

This guy has zero OCD

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A Jalal 28/11/2021 - 6:10 Chiều

49:57 for Ito's isometry

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conor greenan 28/11/2021 - 6:10 Chiều

Many thanks for sharing. Really good lecture.

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francois allouin 28/11/2021 - 6:10 Chiều

The lecture is helpful in one sense. In another sense it is very bad maths. Teaching others how NOT TO think like mathematicians. Extremely non-rigorous and almost anti scientific. Comments are positive only because of the lack of serious maths background of reviewers. Of course there are advanced materials he can't cover here. But this should have been immediately clarified when appropriate instead of giving affirmations that are fundamentally wrong. It is better to tell "we admit this result" than to give an explanation that is not correct. In particular (dBt)^2=dt…..what , why ?!
In spite of all that, I would like to stress how useful and profound is this lecture, there are incredible insights that I could not find anywhere else not even in Shreve books. MANY TANKS MIT .

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Diana 28/11/2021 - 6:10 Chiều

at 21:05 why that one is 0 and the one in the middle equals 2 and …

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Rana Vikram Gutgutia 28/11/2021 - 6:10 Chiều

Does someone know about the previous video where he proves (d(Bt)^2)=dt? – because of quadratic variance?

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Gisari a secas 28/11/2021 - 6:10 Chiều

In 8:27 I didn't get why (dBt)(dt) and (dt)^2 are neglectable, square root of a tiny number gives a bigger number (sqrt(1/4)=1/2) so sqrt(dt) should be bigger than dt. I can't accept that explanation.
The argument "they´re tending to zero faster than dt and dBt" isn't good enough. Can someone tell me whats going on.

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xh 28/11/2021 - 6:10 Chiều

Thanks Mr Lee!

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Li Wang 28/11/2021 - 6:10 Chiều

Omg, you spoke so clearly. Thanks a lot. I will try to send my son to MIT in future.

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