Stochastic Calculus
Itô's lemma applications, change of measure, martingale arguments, SDE solutions, quadratic variation, and the generator of a diffusion.
10 questions · L2–L3
01L1GBM: The Log-Normal SolutionJunior Quant→02L1Itô's Lemma Applied to W²Junior Quant→03L2Girsanov's TheoremSenior Quant→04L2Stopped MartingaleSenior Quant→05L2Stochastic Exponential & NovikovSenior Quant→06L2Lévy's CharacterisationSenior Quant→07L2Generator of a DiffusionSenior Quant→08L3Heston PDE DerivationQuant Researcher→09L3Incomplete Markets & Non-Unique EMMsQuant Researcher→10L3Strict Local MartingalesQuant Researcher→