Stochastic Calculus (2 º Sem 2019/2020)

- Recap of Probability Theory;
- Condicional expectation and martingales;
- Brownian motion;
- Construction and properties of the Itô integral;
- Itô formula;
- Stochastic differential equations. Existence and uniqueness of solutions;
- Relationship between stochastic differential equations and partial differential equations;
- Girsanov Theorem;
- Financial markets models (derivative pricing).