Introduction to Probability
Alessandro Sgarabottolo
Schedule and Venue
| Lecturer | Dates and Times | Room |
|---|---|---|
| Seminar Alessandro Sgarabottolo |
| TBA |
| Exam Written Examination | TBA | TBA |
This course will be held in English and has a total duration of 24 hours.
Course Description
This course provides the foundations of Probability Theory needed to tackle more advanced courses such as Stochastic Calculus and Arbitrage Theory in Continuous Time. The course is intended for students who have already taken an introductory course in Probability. The main topics that will be covered are:
- Foundations of Measure Theory
- Conditional expectation
- Weak convergence, characteristic functions, law of large numbers and CLT
- Martingales
- Jacod, J. and Protter, P., (2012) Probability Essentials. Springer Berlin, Heidelberg
- Williams, D., (1991) _Probability with Martingales._ Cambridge University Press
Students in the Master program Financial and Insurance Mathematics can apply for 3 ECTS in the module WP16 "Advanced Topics in Financial Mathematics C"