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Ito’s Formula: a heuristic derivation

  • A heuristic look at the stochastic integral.
  • heuristic derivation of Itô’s formula.

Continue reading “Ito’s Formula: a heuristic derivation”

Author appliedprobabilityPosted on April 12, 2017May 18, 2017Categories Control for Finance, ProbabilityLeave a comment on Ito’s Formula: a heuristic derivation

Utility Theory

  • Utility functions and their equivalence
  • Risk Aversion.
  • CRRA utility and its equivalence with Iso-elastic utilities.

Continue reading “Utility Theory”

Author appliedprobabilityPosted on April 12, 2017July 5, 2017Categories GamesLeave a comment on Utility Theory

Basic Probability Bounds

  • Markov’s Inequality; Chebychev’s Inequality; Chernoff’s Bound.
  • Bounds for the Poisson Distribution.

Continue reading “Basic Probability Bounds”

Author appliedprobabilityPosted on April 12, 2017August 13, 2017Categories ProbabilityLeave a comment on Basic Probability Bounds

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