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    References M2 For DTSP

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    vikrant
    This document provides references for additional resources on stochastic processes covered in the DTSP – M2 course. It includes references for martingale theory, Markov processes, and Jensen's inequality. The resources listed go into more depth than what will be covered in the course and are optional supplemental material for students interested in further study.

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    References M2 For DTSP

    Uploaded by

    vikrant
    41 views1 page
    This document provides references for additional resources on stochastic processes covered in the DTSP – M2 course. It includes references for martingale theory, Markov processes, and Jensen's inequality. The resources listed go into more depth than what will be covered in the course and are optional supplemental material for students interested in further study.

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    References M2 for DTSP

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    This document provides references for additional resources on stochastic processes covered in the DTSP – M2 course. It includes references for martingale theory, Markov processes, and Jensen's inequality. The resources listed go into more depth than what will be covered in the course and are optional supplemental material for students interested in further study.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    41 views1 page

    References M2 For DTSP

    Uploaded by

    vikrant
    This document provides references for additional resources on stochastic processes covered in the DTSP – M2 course. It includes references for martingale theory, Markov processes, and Jensen's inequality. The resources listed go into more depth than what will be covered in the course and are optional supplemental material for students interested in further study.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
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    References for DTSP – M2: Stochastic Processes

    Please, remember that these references are just to provide you with extra resources and examples,
    they are no substitute of the main course note by any means.

    - Martingale Theory (conditional expectation, martingale,…)


    o See Part B (Ch. 9 and above) in Williams, David, “Probability with martingales”,
    Cambridge Univ. Press, 2014.
    o Ch. VII and VIII (Markov Chains) in Shiryaev, “Probability”, Springer.

    § Notice that both of these books cover martingales processes in detail, some of
    the features covered here are not going to be part of this course. Some of this
    extended material we will cover in Module 3, other, you may go over when
    taking CTSP.

    - Markov processes.
    o In the following videos you can see how Markov processes are going to be useful to
    model probabilistic games. This is a classic example, ‘The Gambler’s Ruin’. Please, note
    that some of the concepts covered here are a bit advanced at this time. The idea is you
    understand the intuition of why using Markov processes, we will go deeper into those
    along the course (and then in CTSP).

    § Review Markov Processes:


    https://www.youtube.com/watch?v=tYaW-1kzTZI

    § The Gambler’s Ruin


    https://www.youtube.com/watch?v=afIhgiHVnj0

    - Jensen’s Inequality.
    o Here you can find a couple of examples using Jensen’s inequality and why is it going
    to be important in finance:
    https://ebrary.net/7091/business_finance/what_jensens_inequality_and
    _what_its_role_finance
    https://www.risklatte.xyz/Articles/QuantitativeFinance/QF187.php

    o Here you can find a quick review on the intuition and proof of Jensen’s inequality
    with some examples:
    § https://www.youtube.com/watch?v=HfCb1K4Nr8M (Intuition)
    § https://www.youtube.com/watch?v=10xgmpG_uTs (Proof)

    - As you may have noticed, Module 2 is an introduction to Martingales, let’s leave the rest of the
    vast literature and extra resources to review for Module 3!

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