MGF, Characteristic Function, Martingale | Part 2 Stochastic Calculus for Quantitative Finance

In this video, we will look at Moment Generating Functions, Characteristic Functions, Martingales and Gaussian Vectors.
Playlist of the course: • Stochastic Calculus fo...
Reference:
- Éléments de calcul stochastique pour l’évaluation et la couverture des actifs dérivés by Imen Ben Tahar, José Trashorras, and Gabriel Turinici.
- Stochastic Calculus for Finance II: Continuous-Time Models by Steven Shreve
- Brownian Motion, Martingales, and Stochastic Calculus by Jean-François Le Gall

[@stochastip]

Hey! I hope you enjoyed this video. The really interesting part is coming up next with Brownian motion and Ito calculus. I have many ideas for animations and I’m super excited to share them with you. I will try to find time to work on it🥵
Btw, Thanks for the 100 subscribers!
Like, subscribe, and stay tuned!😃

[@kuleensasse6231]

Great stuff! Keep it up

[@tamerlanbekber]

Great video, keep it up!

[@georgessakr1]

just discovered the playlist . Its great btw !

[@mohammedbelgoumri]

I'm a bit confused, if is gaussian for any u, don't we get that Xi is gaussian by substituting u=ei, the ith basis vector?

[@jackroche5060]

Did you use manim for this video?

[@stochastip]

Yes !

[@issamelkadiri1015]

Banger,
you graduated from a french school ?

[@stochastip]

I went to Dauphine for my undergrad. Do you know them?

[@issamelkadiri1015]

@@stochastip somehow yes