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Docente
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CAMMAROTA VALENTINA
(programma)
Infinite probability spaces, Random variables and distributions, Expectations, Change of measure, Information and sigma-algebras, Independence, General conditional expectation, Scaled random walk, Brownian motion, Quadratic variation, Ito’s integral for simple integrands, Ito’s integral for general integrands, Ito-Doeblin formula, Riesk-neutral measure, Stochastic differential equations, Markov property, Partial differential equations.
 Steven Shreve, "Stochastic Calculus for Finance II", Springer Finance Textbooks.
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