NPTEL : NOC:Probability and Stochastics for finance (Mathematics)

Co-ordinators : Dr. Joydeep Dutta


Lecture 1 - Basic Probability

Lecture 2 - Interesting Problems In Probability

Lecture 3 - Random variables, distribution function and independence

Lecture 4 - Chebyshev inequality, Borel-Cantelli Lemmas and related issues

Lecture 5 - Law of Large Number and Central Limit Theorem

Lecture 6 - Conditional Expectation - I

Lecture 7 - Conditional Expectation - II

Lecture 8 - Martingales

Lecture 9 - Brownian Motion - I

Lecture 10 - Brownian Motion - II

Lecture 11 - Brownian Motion - III

Lecture 12 - Ito Integral - I

Lecture 13 - Ito Integral - II

Lecture 14 - Ito Calculus - I

Lecture 15 - Ito Calculus - II

Lecture 16 - Ito Integral In Higher Dimension

Lecture 17 - Application to Ito Integral - I

Lecture 18 - Application to Ito Integral - II

Lecture 19 - Black Scholes Formula - I

Lecture 20 - Black Scholes Formula - II