Change Of Time And Change Of Measure

Random Change of Time; Integral Representations and Change of Time in Stochastic Integrals; Semimartingales: Basic Notions, Structures, Elements of Stochastic Analysis; Stochastic Exponential and Stochastic Logarithm. Cumulant Processes; Processes with Independent Increments. Levy Processes; Change of Measure. General Facts; Change of Measure in Models Based on Levy Processes; Change of Time in Semimartingale Models and Models Based on Brownian Motion and Levy Processes; Conditionally Gaussian Distributions and Stochastic Volatility Models for the Discrete-time Case; Martingale Measures in the Stochastic Theory of Arbitrage; Change of Measure in Option Pricing; Conditionally Brownian and Levy Processes. Stochastic Volatility Models; A Wider View. Ambit Processes and Fields, and Volatility/Intermittency;

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• Estocástica
• Econometria
• Probabilidade e Estatística

Conditional Gaussianity, Financial Mathematics and Econometrics, Levy Processes, Martingale Measures, Option Pricing, Semimartingales, Stochastic Analysis, Stochastic Exponential, Stochastic Logarithm, Stochastic Volatility, Theory of Arbitrage, Statistical Theory of Turbulance