Lecture Computational Finance / Numerical Methods 14-01: Itô Lemma and Feynman-Kač Theorem
Channel: finmath
Date: 27/06/2020

Lecture on Computational Finance / Numerical Methods for Mathematical Finance. Session 14-01: Itô Lemma and Feynman-Kač Theorem

The third session on the time-discretisation of stochastic processes.

- Itô lemma
- Feynman-Kač Theorem
- Getting some intuition by approximating a Brownian increment via Bernoulli increments