The Quant Journey
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The Quant Journey

Continuous Time Martingales for Quantitative Finance

By Thomas Steiner — with the help of GNU R statistics / math software. see the source below, CC BY-SA 3.0, https://commons.wikimedia.org/w/index.php?curid=689096

A Martingale is simply a stochastic process (a sequence of random variables) for which, given some arbitrary time s < t, the conditional expectation of t given s is equal to the value at time s.

1. Definition

In the probability space:

Given a stochastic process X that is adapted to the filtration F(t) (i.e. is…

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This is a repository of information regarding everything quantitative. I am building my knowledge as I go, therefore this is a journey for both me as a contributor and you as a reader as we venture in to the world of mathematics, programming, statistics, finance and business.

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Andrea Chello

Andrea Chello

Quant | Full-Stack Blockchain Developer

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