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Stochastic calculus

Brownian motion, geometric Brownian motion, Itô's lemma and the Black-Scholes PDE: the mathematical machinery under every derivatives model, derived rather than asserted.

Free module.

Outline

  • Step 1
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  • Step 3
  • Step 4
  • Step 5
  • Step 6
  • Step 7
  • Step 8

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