Stochastic Processes

• Teaching material is also delivered through e-learning platform "moodle"

Argomenti del programma: Random walks (about 18 hours) Definition, Markovianity, temporal and spatial invariance, random walks with reflecting and absorbing barriers, reflection principle, ballot theorem, distribution of the maximum, hitting time theorem, first and second arc sine law, random walks and generating functions, short introduction on Black–Scholes model.