From First Principles

Mathematics Without Hand Waving

Stochastic Calculus

Welcome to my page on Stochastic Calculus.

  • Quadratic Variation
  • The Ito Formula
  • The Feynman-Kac Formula
  • Martingales
  • The Martingale Representation Theorem
  • The Radon-Nikodym Derivative
  • Equivalent Martingale Measures
  • Girsanov’s Theorem and the Risk-Neutral Measure
  • Numeraires

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