Statistika Ekonomi Dan Bisnis - Statistika Keuangan - Zip

Probability for Finance
Patrick Roger
Download free books at

Patrick Roger
Strasbourg University, EM Strasbourg Business School
May 2010
Download free eBooks at bookboon.com
2
2010 Patrick Roger & Ventus Publishing ApS
ISBN 978-87-7681-589-9
3
Probability for Finance Contents
Contents
Introduction 8
1. Probability spaces and random variables 10

1.1 Measurable spaces and probability measures 10
1.1.1 algebra (or tribe) on a set 11
1.1.2 Sub-tribes of A 13
1.1.3 Probability measures 16
1.2 Conditional probability and Bayes theorem 18
1.2.1 Independant events and independant tribes 19
1.2.2 Conditional probability measures 21
1.2.3 Bayes theorem 24
1.3 Random variables and probability distributions 25
1.3.1 Random variables and generated tribes 25
1.3.2 Independant random variables 29
1.3.3 Probability distributions and cumulative distributions 30
1.3.4 Discrete and continuous random variables 34
1.3.5 Transformations of random variables 35
2. Moments of a random variable 37

2.1 Mathematical expectation 37
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2.1.1 Expectations of discrete and continous random variables 39

2.1.2 Expectation: the general case 40
2.1.3 Illustration: Jensens inequality and Saint-Peterburg paradox 43
2.2 Variance and higher moments 46
2.2.1 Second-order moments 46
2.2.2 Skewness and kurtosis 48
2.3 The vector space of random variables 50
2.3.1 Almost surely equal random variables 51
2.3.2 The space L1 (, A, P) 53
2.3.3 The space L2 (, A, P) 54
2.3.4 Covariance and correlation 59
2.4 Equivalent probabilities and Radon-Nikodym derivatives 63
2.4.1 Intuition 63
2.4.2 Radon Nikodym derivatives 67
2.5 Random vectors 69
2.5.1 Definitions 69
2.5.2 Application to portfolio choice 71
3. Usual probability distributions in financial models 73

3.1 Discrete distributions 73
3.1.1 Bernoulli distribution 73
3.1.2 Binomial distribution 76
3.1.3 Poisson distribution 78
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3.2 Continuous distributions 81

3.2.1 Uniform distribution 81
3.2.2 Gaussian (normal) distribution 82
3.2.3 Log-normal distribution 86
3.3 Some other useful distributions 91
2
3.3.1 The X distribution 91
3.3.2 The Student-t distribution 92
3.3.3 The Fisher-Snedecor distribution 93
4. Conditional expectations and Limit theorems 94

4.1 Conditional expectations 94
4.1.1 Introductive example 94
4.1.2 Conditional distributions 96
4.1.3 Conditional expectation with respect to an event 97
4.1.4 Conditional expectation with respect to a random variable 98
4.1.5 Conditional expectation with respect to a substribe 100
4.2 Geometric interpretation in L2 (, A, P)
360 101
.
4.2.1 Introductive example 101
4.2.2 Conditional expectation as a projection in L2 102
4.3
4.3.1
4.4
Properties of conditional expectations
The Gaussian vector case
The law of large numbers and the central limit theorem
thinking 104
105
108
4.4.1 Stochastic Covergences 108
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4.4.2 Law of large numbers 109

4.4.3 Central limit theorem 112
Bibliography 114
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7
Probability for Finance Introduction

8

Probability for Finance Introduction
9
Probability for Finance Probability spaces and random variables

t = 0 T = 1.

.

T

P

P

10

P()
A P()
B A, B c A B c B B c =
{ / / B} . A

(Bn , n N) A, +
n=1 Bn A.
A
(, A) A

T = 1
A A A
/ A.
, .
= {1 , 2 , 3 , 4 } ,
A = {, } A =
{, { 1 , 2 } , { 3 , 4 } , } A = P(),
(Bn , n N) A, +
n=1 Bn
A A
A.
11

= {B1 , ..., BK }
Bi Bj = i = j
K
i=1 Bi = .

A
A.
A
,
, .
Bj
Bj )
Bj Bj

e Graduate Programme
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12

= {B1 , ..., BK }
, B ,
.
B , ,
.
B 2K
A
T > 1
T
P) t < T,
P).
A P) A A
A A
A .
, A ) A
= { 1 , 2 , 3 , 4 } ,
A = {, { 1 , 2 } , { 3 , 4 } , } P).

A B A B c A { 1 , 2 } =
{ 3 , 4 }c . A A
{ 1 , 2 } { 3 , 4 } = .

A
A A A

Card( Card(
Card( < Card(P(.
P(

13

.
.
A A A
A .

2K
K K
A A;

u
d),
= {uu; ud; du; dd}

A = {; {uu; ud} ; {du; dd} ; }
P). {du; dd} = {uu; ud}c
{uu; ud} {du; dd} = A.

uu = u2

u

ud
1
du

d

dd = d2
{uu; ud}
.

{uu; ud} .

ud du
ud

.
14

du.

R,
BR .
R R. BR

15

(, A)
A A [0; 1]
P () = 1
(Bn , n N) A
+ +

P Bn = P (Bn )
n=1 n=1
(, A, P )

B B c ,
P (B) + P (B c ) = P () = 1
P (B c ) = 1P (B).
B B c

16

(, A, P )
P () = 0
(B1 , B2 ) A A, B1 B2 P (B1 ) P (B2 )
(Bn , n N) Bn Bn+1
A

lim P (Bn ) = P Bn
n+
nN
(Bn , n N) Bn Bn+1
A

lim P (Bn ) = P Bn
n+
nN
B A, P (B c ) = 1 P (B)

P ( ) = P () + P () =
P () = 1. P () = 0

B1 B2 P (B2 ) = P (B1 (B2 B1c )) = P (B1 ) + P (B2 B1c )
P (B1 )

n
(Bn , n N) un = P p=1 Bp
P () = 1
(Bn , n N)
P nN Bn .

n
(Bn , n N) vn = P p=1 B p
P () = 0
(Bn , n N)
P nN Bn .

P (B B c ) = P (B) + P (B c ) B
B c B B c = , P (B B c ) = P () = 1
P (B c ) = 1 P (B)
17

Card() = N A = P() ;
A

1
, P () =
N

[0; 1] [0; 1]
R2 ;

A
, P (A) A P P () = 1;
P
[0; 1] [0; 1]

B = [a; b] [c; d] (d c)(b a) 1.

B (d c)(b a).

(, A, P )

B
A

P ()
P ({})

18

B1 , B2 A P (B1 B2 ) =
P (B1 ) P (B2 ).
B2 A P (B2 ) = 0 B1
B2 P (B1 |B2 ),

P (B1 B2 )
P (B1 |B2 ) =
P (B2 )

B2
B2 . B1
B2 ,
. B1 B2 = , B1
B1
B1 B2
B2 B1 .
B1 B2

P (B1 B2 ) P (B1 ) P (B2 )
P (B1 |B2 ) = = = P (B1 )
P (B2 ) P (B2 )

= [0; 1] [0; 1]

(x, y) B1 = 0; 12
1
3
; 1 B2 = 0; 13 0; 12 ;
1 2 1
P (B1 ) = =
2 3 3
1 1 1
P (B2 ) = =
3 2 6
19

B2 (x, y) B1 x 0; 13 y

1/3 13 ; 12 . (x, y) B2
y 12 . (x, y)
B1 y 13,

y 0; 12 1/3

y 13 ; 12 .

P (B1 |B2 ) = 13 B1 B2 = 0; 13 13 ; 12 ,

1 1 1 1
P (B1 B2 ) = 0 =
3 2 3 18

1
18 1
P (B1 |B2 ) = 1 = = P (B1 )
6
3
B1 B2 .
20

B1 B2

B1 ,
B2 B1

G G A
B G, B G , P (B B ) = P (B) P (B )
G G
P()

(, A).
.

B A AB

AB = A B A A ;
AB B. (B, AB )

21

B AB B = B (Cn , n N)
Cn = An B

Cn = An B = An B
nN nN nN

A An A
nN nN An B AB

C = A B AB CBc C B.
c
CBc = A B B = Ac B Bc B

= Ac B AB
B P (B) = 0
P (. |B ), P (B1 |B ) B1 ,
(B, AB ) .
P (B |B ) = 1. (Cn , n N)
AB

P nN Cn B P nN (Cn B)
P Cn |B = =
nN
P (B) P (B)
n, Cn B,

P nN Cn nN P (Cn ) nN P (Cn B)
= = = P (Cn |B )
P (B) P (B) P (B) nN

t B.

22

(B, AB , P (. |B )).
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(B1 , B2 , ..., Bn ) C A,

P (C |Bj )P (Bj )
P (Bj |C ) = n
i=1 P (C |Bi )P (Bi )
Bj
n

C= C Bi
i=1

n
n
P (C) = P C Bi = P (C |Bi )P (Bi )
i=1 i=1

P C Bj = P (C |Bj )P (Bj ) = P (Bj |C )P (C)
24

P (C)

C
B1 B2 = B1c
P (C |B1 )P (B1 )
P (B1 |C ) =
P (C |B1 )P (B1 ) + P (C |B2 )P (B2 )
P (B1 ) = 104
P (C |B1 ) = 0.99
P (C |B2 ) = 0.01
0.99 104
P (B1 |C ) = 0.01
0.99 104 + 0.01 (1 104 )

T = 1

R+
R

(S S )/S ,
ln(S /S ), .
25

[2%; 2%]

(, A) (E, B)
E X E
B B, X 1 (B) A
X 1 (B) X 1 (B) = { / X() B} . X
A
X E = R

A.
A) PX BR
PX (B) = P (X 1 (B)) .

X
B PX (B)
E
R Rn
R+ N E R
E = Rn

A . X
X B = [2%; +2%] ,
X 1 (B)
A

X (, A)
(E, B) . X BX A

BX = A A / B B , A = X 1 (B)
26

BX A,
A
A
X

t Ft
s > t.
Ft Fs

uu ud

A = P,
R
A.
27

Card() =
4 X, Y

X
X()
Y () = 2.
2 4 Y
X.
X Y
1
2
3
4
X Y

BX = P()
BY = {, , { 1 } , { 2 , 4 } , { 3 } , { 1 , 3 } , { 1 , 2 , 4 } , { 3 , 2 , 4 }}
BY Y

St t

uSt1 p
St =
dSt1 1 p
= {uu; ud; du; dd}

S0
B0 = {, } .
.
1, S1
{du; dd} {uu; ud}
B1
B1 = {, , {du; dd} , {uu; ud}}

28

B0 B0 B1 .
B1

S2 = udS0 . S1
.

B2
(S1 , S2 ) S2 . BS
S1 S2 .

A B P (A B) = P (A) P (B)

X Y (, A, P )
(E, B) (A, B) B 2 ,
X 1 (A) Y 1 (B)
= { 1 , 2 , 3 , 4 } A = P()
X Y

1 1
1 2
(X, Y ) = 1

2
1 1

Y = 1, X
1 4 Y = 2,
X 2 3 .
Y BX

X Y
X Y

X Y aX bY a

29

X Y
BX BY .

X
(, A) (R, BR ) X
BR
P A
X (, A)
(E, B) ;
X PX B,

B B, PX (B) = P X 1 (B) = P ({ / X() B})
(E, B) = (R, BR ) , X
FX , R [0; 1]
FX (x) = P ({ / X() x}) = PX ((; x])
30

X()
() 3() 3()
= 35
= 63
= 21 1
() 120 () 120 () 120 120

A

PX
P

X

nk = k!(nk)!
n!
k

n 10
3
10!
= 3!(103)! = 120 .
1
A = P() P () = 120 .
PX X

{X = k} k = 0, ..., 3
P (X = 3) =
1
120
. {X = 2} ,

P (X = 2) = 37 120
. {X = 1}
72 = 21
7
10 P (X = 1) = 120 . P (X = 0) =
63
3
/ 3 = 35/120.
63 + 35 + 21 + 1 = 120

{X = k} { X() = k}.
31

(, A, P )
PX BX
A BX A.

FX
X
lim FX (x) = 0 lim FX (x) = 1

x x+
FX B1 B2
P (B1 ) P (B2 )) x y, (; x] (; y] PX ((; x])
PX ((; y]) .
FX (x)
(; x] , (xn , n N)
x Bn = (; xn ]
B = (; x] .

+ n
P (X x) = 1 FX (x) = 0.99
V aR(99%) = FX1 (0.01)

|x| .
32
x X Y.


X
Y,

x R, FX (x) FY (x)
FX FY X Y.
X Y
X Y,

P ({X x}) P ({Y x})
x,
x X Y.

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X
(xn , n N)

P ({ / X() = xn }) = P (X = xn ) = 1
nN nN
(xn , n N) X.
Y
fY
x
FY (x) = fY (y)dy

FY Y. fY Y
.

+
fY (y)dy = 1

X
X.

B A B,
B
B () = 1 B
= 0

B.

K = 1000 XT
T. 100
{XT 1000} {XT 1000} = { / XT () 1000} .

34

X {x1 , ..., xn } ,
xi = xj i = j = {B1 , ..., Bn }
n
X= xi Bi
i=1
Bi = { / X() = xi } , i =
1, 2, ..., n.
Card() = N X( i ) = xi
N

X= xi { }
i
i=1
Card() < +
{ }
i

X,
Y = g(X) g

g

K T,
YT = g(XT ) = max(XT K; 0) XT
T
35

Xt t.
[0; t]

Xt
Yt = ln = ln(Xt )
1
fX
fY

X fX g
R R fY
Y = g(X)
fX (g 1 (x))
fY (x) = x Y ()
|g (g 1 (x))|
= 0
Y () = {y R / y = Y () } .
36
Probability for Finance Moments of a random variable
37

4021

40 63

1 40 21 40 63
$40 +$ +$ = $1
120 21 120 63 120

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38

X
{x1 , ..., xn } , xi R i. pi = P (X = xi ) i = 1, ..., n;
X P
E(X),
n

E(X) = xi pi
i=1
X fX FX
X P
E(X),
+ +
E(X) = xfX (x)dt = xdFX (x)

n xi
X =
B E(X) = E(B ) = P (B).
X ni=1 xi Bi Bi = {X = xi } ,
n n n

E(X) = E xi Bi = xi E (Bi ) = xi pi
i=1 i=1 i=1
EP E
P. E

P,
Q.
EP EQ .

X Y X + Y

39

V
(, A, P ) X

X E(X) XdP,

E(X) = XdP = sup {E(Y ), Y X}
Y V
E(Y ) Y V Y

X
X.

XdP, E(X)
x
FX X
P. .
X
X
X = X+ X
X + = max(X; 0) X = max(X; 0). E(X)

V

f sup f (x)
f(x) x A.
40

X X
E(X),
E(X) = E(X + ) E(X )
X + X
E(X)
X P,
P E(X)
E (|X|) |X| = X + + X
X, Z A, B
A
X = A E(X) = P (A)
0 X Z 0 E(X) E(Z)
{X 0 A B} E (XA ) E (XB )
c R, E(cX) = cE(X)
E(X + Z) = E(X) + E(Z)
|E(X)| E (|X|)
X = A P (A)
1 P (A)
E(X) = P (A)
Y = 0 V
E(X) E(Y ) = 0.
Z X,
sup {E(Y ), Y X} sup {E(Y ), Y Z}

Y V Y V
E(Z) E(X).
A B X 0, XA XB

41

X V X
c > 0. X cX X + X (cX)+ (cX) .
c (cX) = cX + (cX)+ = cX

E(cX) = E (cX)+ E (cX)

= cE X + cE X +
= c (E(X)) = cE(X)

X X + X
|X| = X + +X E (|X|) = E(X + )+E(X ) |E(X + ) E(X )|

x y x + y > x y
x + y > y x.
(x1 , x2 , ..., xn ) X
n
E(X) x = n1 xi .
i=1
42

X E [u(X)]
u

50 = 12 (0 + 100)
E(X)
X.
E [u(X)] u [E(X)]
X u(X)
X u
R R u(X)
E [u(X)] u [E(X)]

x1 x2 p 1 p.
pu(x1 ) + (1 p)u(x2 ) u(px1 + (1 p)x2 )
u(x)
(x1 , u(x1 )) (x2 , u(x2 )).

f (x, y) [0; 1] , f(x + (1 )y)
f (x) + (1 )f(y)
43

u
u X
X

u > 0
u < 0

2n
n

N

1/2. P (N = n) = 21n
n 1
2n.
X
+
+

n 1
E(X) = 2 P (N = n) = 2n = +
n=1 n=1
2n
44

+
+

1 n
E(ln(X)) = ln(2n ) n
= ln(2)
n=1
2 n=1
2n

+
+
+
n 1
n
= =2
n=1
2 n=1 k=n
2k
E(ln(X)) = 2 ln(2) = ln(4)
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45

X.

X,
2 (X)
2 (X) = E(X 2 )
2 (X) X
X
X, V (X) 2 (X)

V (X) = 2 (X) = E (X E(X))2
V (X) Y =
X E(X), V (X) = 2 (Y ). Y
E(Y ) = 0
X

V (X) = E (X E(X))2 = E(X 2 ) E(X)2

E (X E(X))2 = E X 2 2XE(X) + E(X)2

= E X 2 2E [XE(X)] + E(X)2
= E(X 2 ) 2E(X)2 + E(X)2
= E(X 2 ) E(X)2
46

card() = P () = 0.25 , X

2
3
X= 1

0
E(X) = 1 Y = X E(X)

1
2
Y = 2

1
X Y

V (X) = V (Y ) = 0, 25 12 + 22 + (2)2 + (1)2 = 2.5

V (X) = V (X + c)
c.
(x1 , x2 , ...., xn) X

n
2 1
s = (xi x)2
n 1 i=1
n 1 n
X x.
X
X, (X) V (X)

(X) = V (X)

47

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n X,
n (X)
n (X) = E(X n )
X
3. X, Sk(X)
3 (X E(X))
Sk(X) =
(X)3
(x1 , x2 , ...., xn )
X, Sk(X)
n xi x 3
=
Sk
(n 1)(n 2) s

Sk = 0.73

49

X
4 (X E(X))
(X) =
4
X
e(X) = (X) 3
= 3.
(X)
(X) =
8.93

L0 (, A) (, A).

, (X + Y ) () = X() + Y ()
, c R, (cX)() = cX()
L0 (, A)

P .
P

50

n Rn x y,
d(x, y) x y
d Rn
Rn ,
n
x=y (xi yi )2 = 0
i=1
xi = yi i = 1, ..., n.

[a; b] .
b
d(f, g) = |f(x) g(x)| dx
a
d(f, g) = 0
f = g f(x) = 0 [a; b] g(x) = 0 [a; b[ g(b) = 1.
d(f, g) = 0 f g

f g

R
f Rg f g
R f Rf f Rg
gRf) f Rg gRh f Rh)
d
R
[a; b] . f g
f g, d(f, g)
(f, g) f g.

d S S S R d(x, y) = 0
x = y d(x, y) = d(y, x) d(x, z) d(x, y) + d(y, z)
51

L1 (, A, P )

P

(, A, P ).
X Y (, A, P )
P
P
R
L1 (, A, P )
/X()
P (XRY X == = 1
Y YP())

X = Y a.s P (X = Y ) = 1
(, A, P ) A A P
P (A) = 0.
L1 (, A, P ) P
(, A, P ).
R L1 (, A, P )
XRY X = Y P

P P

P P

52

L1 (, A, P )
L1 (, A, P ) R
L1 (, A, P ). L0 (, A, P ) R
L0 (, A).
L1 (, A, P ) L0 (, A, P ).
L1 (, A, P ) R+ , X X1
X X1 = E(|X|)

L1 R X E(X), X
E(X),
L1 (, A, P ) L0 (, A, P )

X X1 X1 = 0 X = 0 P

X + Y 1 X1 + Y 1
, |X() + Y ()| |X()| + |Y ()| ,
E(|X + Y |) E(|X|) + E(|Y |)
X1 = || X1

L

S S R , .
x = 0 x = 0
x S, c R, cx = |c| x
(x, y) S S, x + y x + y
53

L1 (, A, P ))
d1 (X, Y ) = X Y 1 , L1 (, A, P )
d1 L1

(Xn , n N )
L1 X L1
lim E (|Xn X|) = 0

n+
L
Xn X.
L1
Rn
L1 .

L2(, A, P )
L2 (, A, P )
L2 (, A, P )
L2 (, A, P )
L2 (, A, P ) L1 (, A, P )
X Y L2 (, A, P ) XY
L1 (, A, P ).
54

E(XY )2 E(X 2 )E(Y 2 )
Z = X + tY t R

E Z 2 = E X 2 + 2tXY + t2 Y 2 0

= E X 2 + 2tE (XY ) + t2 E Y 2
t.

= E (XY )2 E X 2 E Y 2
X
Y L2 . XY
L2 .
55

L2 L2 R ., .
(X, Y ) X, Y = E(XY )
L2 .

X2 = X, X = E(X 2 )
d2 d2 (X, Y ) = X Y 2 .
., . X, X = E(X 2 ) > 0 X
P

L1 , L2
L2
(Xn , n N ) L2 X L2

lim E (Xn X)2 = 0
n+
L2

L2 Rn ,
L2 .

R2 , f : R2 R
x R2 , f (x) = a1 x1 + a2 x2
a1 a2 x = (x1 , x2 ).
(a1 , a2 ) f. a = (a1 , a2 )
x R2 f(x)

H
H
H
56

a x. f
R2 R a R2 .

L2 (, A, P ).
f L2 R
Yf L2 X L2
f (X) = X, Yf = E(XYf )
X f (X)
X f (X)
Card() = N
Yf
N

f (X) = X, Yf = E(XYf ) = X( i )Yf ( i )P ( i )
i=1
X = ei = {i } ,
i .
f (ei ) = ei , Yf = P ( i )Yf ( i )
f (ei )
i .
P ( i ) Yf ( i ). Yf ( i )
f(ei )
Yf ( i )
Yf ( i )

Yf ( i )
i X,

N

X= xi ei
i=1
X( i ) = xi .
N
N

f (X) = X, Yf = xi f (ei ) = xi Yf ( i )P ( i )
i=1 i=1

R , x y

< x, y >= x y .

57

C C
z)

L2
x R2 C
R2 . C z C
x. z x C.
y y.
x z y z 90 270 .

< x z, y z > 0

C C
z)

A
[0; 1] , (x, y) A A, x + (1 )y A.

R , x y < x, y > / x . y .
Challenge the way we run
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A
[0; 1] , (x, y) A A, x + (1 )y A.

R , x y < x, y > / x . y .
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58

R2
C L2 X L2 .
Z C
X Z, Y Z 0 Y C
Z X C.

59

X Y L2 (, A, P )
X Y, Cov(X, Y ) XY )

cov(X, Y ) = E [(X E(X)) (Y E(Y ))]
X Y
X() Y ()
1
2
3
4
X Y
E(X) = E(Y ) = 2.

X() E(X) Y () E(Y )

1
2
3
4

1
cov(X, Y ) = (1 1 + (2) (1) + 1 (1) + 2 1) = 0.5
4

P
X Y.
a, b, c, d
X, Y, Z, W
Cov(aX +bY, cZ +dW ) = ac XZ +ad XW +bc Y Z +bd Y W
Cov(aX, Y ) = aCov(X, Y ).
60

V (X + Y ) = V (X) + V (Y ) + 2Cov (X, Y )
Cov (X, X) = V (X).
Cov (X, Y )
X Y.

X Y L2 ;
X Y XY ,
Cov(X, Y )
XY =
(X)(Y )
(X) (Y ) X Y.
X Y
XY Cov( (X) , (Y )
),

X Y
X, Y
XY =
X2 Y 2
XY
X Y.

1
(X) = ((1)2 + (2)2 + (1)2 + (2)2 ) = 2.5 = 1.58
4

1
(Y ) = ((1)2 + (1)2 + (1)2 + (1)2 ) = 1
4
0.5
XY = = 0.316
1.58
61

X Y

X Z L2 a, b, c, d

Cov(aX + b, cZ + d) = ac Cov(X, Z)
aX+b,cZ+d = sign(ac) XZ
Y
W
(aX + b) = |a| (X) (cY + d) = |c| (Y )
62

X Y L2

X1
X1
X0 = 90

1
E (X1 ) = [0 + 200] = 100
2

E (X1 )
X0 = = 90
1 + Riskpremium

X0

63

Q P
X0 = EQ (X1 )

= { 1 , 2 } , X1 ( 1 ) = 200 X1 ( 2 ) = 0.
Q( 1 ) = q1 = 0.45
Q( 2 ) = q2 = 1 q1 = 0.55
EQ (X1 ) = 90 = X0 .
Q

q1 200 + q2 0 = 90
q1 + q2 = 1
X1 ( 1 ) = 200 X1 ( 2 ) = 100 X0 = 130

Y1 ( 1 ) = 150 Y1 ( 2 ) = 110 Y0 = 120
Q X0 = EQ (X1 ).
130 = 200Q(1 ) + 100 (1 Q (1 ))
Q( 1 ) = 0.3.
Q Y0 = EQ (Y1 ).

150Q ( 1 ) + 110 (1 Q ( 1 )) = 120
64

Q ( 1 ) = 0.25.
Q Q

Q Q
(X0 , Y0 )

200 150 1 0
X + Y + Z =
100 110 1 0
X = 2; Y = 5; Z = 350

200 150 1 0
2 +5 350 =
100 110 1 0
2 130 + 5 120 350 = 10

(X0 , Y0 )
X1
Y1 , X0 Y0
2X0 + 5Y0 = 350.

Y1
Y0 = 122.
65

122 = 150Q( 1 ) + 110 (1 Q( 1 ))
Q( 1 ) = 12
40
= 0.3.
Q
Q

Q

r
1+r
1
, X1
1
X0 = EQ (X1 )
1+r
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66

{}
1
P ( 1 ) > 0
A11 ,
A10 P ( 1 ),
A10 = EQ (A11 ) ,
EQ (A11 ) = Q( 1 ).

P Q.

Q
P
B A, P (B) = 0 Q(B) = 0
Q << P.
P Q
B A, P (B) = 0 Q(B) = 0
Q << P P << Q.

67

Q << P A

B A, Q(B) = dP
B
P (B) = 0 Q(B) = 0
,
Q(B) = B dP, = dQ dP

Q
P. P Q dQ
dP
dQ
dP

dQ dP
= 1/
dP dQ
P Q (, A)
= dQ
dP
.
EQ (X1 ) = E (X1 )

X1 EQ (X1 ) X1 .
P X1 E (X1 ) = , X1
L2 (, A, P ) .

Card() = N A = P () P () > 0

Q({}) = dP = ()P ()
{}

Q()
() =
P ()

68


n
(, A, P ) (Rn , BRn ) . X =
(X1 , ...., Xn ) Xi
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69

X = (X1 , ...., Xn )
FX Rn [0; 1]
FX (x) = P (ni=1 {Xi xi })
x Rn (x1 , x2 .., xn ) .
Xi X
fX Rn R
x x xn
FX (x) = ... fX (x)dx1 ...dxn

E(X)
Xi X

V (X1 ) ... Cov(X1 , Xj ) Cov(X1 , Xn )

X = Cov(Xj , X1 )

V (Xj )
Cov(Xn , X1 ) V (Xn )
X
2
1 ... 1j 1n

X = j1 2

j
2
n1 n

X n
U, W n Rn .
E(U X) = U E(X)
E (U X, W X) = U E(XX )W
V (U X) = U X U
CoV (U X, W X) = U X W
70

n U X =
i=1 Ui Xi V (U X) X (n, n)

XX n n E(XX ) n n

E(Xi Xj )

n X
U Rn n
U, R,
n

R=UX= Ui Xi
i=1
E(R) = U E(X)
V (R) = U X U
E(X)

U
n

Ui = 1
i=1
U =1 Rn

e.
X

(n, n) M x R , x = 0 x Mx > 0.
71

1
min U X U
2

U E(X) = e
U =1
12

1
L (U, , ) = U X U + (e U E(X)) + (1 U )
2
X = E(X) =

L
= U =
U
L
= e U =

L
= 1 U =

U = 1 +1

e = 1 + 1
1 = 1 + 1

1
U= (eC A)1 +(b eA)1
D

A = 1
B = 1
C = 1
D = BC A2

x x 1 x
Rn x, y = x 1 y.
D
72
Probability for Finance Usual probability distributions in financial models

2 , t

X
p X p 1 p.
73

B A P (B) = p, B
p.
B B(p)

X a b (a > b)
p 1 p, Y = ab 1
(X b)
p 1 p. Y B(p).

ln(u)
ln(d) u up d down).
S0 , S1 , uS0 dS0 .

ln(S1 ) = ln(S0 ) + X
X ln(u) ln(d).

B = {SPT K}
SPT T
K

P (B).

X B(p), E(X) = p 2 (X) = p(1 p)
X
p, E(X)
E(X) = p 1 + (1 p) 0 = p
X, 2 (X)

2 (X) = E(X 2 ) E(X)2 = p p2 = p(1 p)

X = X .
74

Y y1 y2
p (1 p).
2 (Y ) = p(1 p)(y1 y2 )2
1
X = y y
(Y y2 ) B(p)
Y = (y1 y2 )X + y2
E(Y ) = (y1 y2 )E(X) + y2 = py1 + (1 p)y2

2 (Y ) = (y1 y2 )2 2 (X) = p(1 p)(y1 y2 )2

Y
y1 = ln(u) y2 = ln(d).
u 2
360
2 (Y ) = p(1 p) ln
d
thinking .
360
thinking . 360
thinking .
Discover the truth at www.deloitte.ca/careers D
Discover the truth at www.deloitte.ca/careers Deloitte & Touche LLP and affiliated entities.
Discover the truth75at www.deloitte.ca/careers



u d

X
n p X n
Xi , i = 1, ..., n, B(p).

n k
P (X = k) = p (1 p)nk
k

nk = k!(nk)!n!
k n.
X B(n, p).

S
St t , (t + 1)
St+1 = St Xt+1
Xt+1 u d p 1 p.
Xt St
t

St = S0 Xs
s=1

t

St
ln = ln(Xs )
S0 s=1
s = 0 s = t
t
ln(u) ln(d) p 1 p.
76

ln(St ) B(n, p)

n k
P (ln(St ) = ln(S0 ) + k u) = p (1 p)tk
k

nk
k t k
X B(n, p) E(X) = np 2 (X) = np(1 p)
B(n, p) n
B(p)).
X B(n, p)
E(X) = np 2 (X) = np(1 p)
n

t

St
E ln = t (p ln (u) + (1 p) ln(d))
S0
u 2
2 St
ln = tp(1 p) ln
S0 d

StStSt .
77

X
X
k
k N, P (X = k)= exp()
k!
X P().
P(2).

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78

P(2)
X P() E(X) = 2 (X) =

xk
e = +
x
k=0 k! .
+
+
+

k k
E(X) = kP (X = k) = k exp() = exp() k
k! k!
k=0 k=0 k=1
+
+ k

k1
= exp() = exp() = exp() exp() =
k=1
(k 1)! k=0
k!

+
k
2 (X) = E(X 2 ) E(X)2 = exp() k2 2
k=0
k!
79

+
k +
k +

2 2 k1
k = k = k
k=0
k! k=1
k! k=1
(k 1)!
+
+

k1 k1
= (k 1) +
(k 1)! (k 1)!
k=1 k=1
+ k
+ k

2
= +
k! k=0k=0
k!
2
= + exp()
2 (X) = .
P()

B(n, p) n p

n
p
np np(1 p)
np(1 p) np
p

= np.

P(),

80

X [a; b] ,
a < b, fX
1
ba
x [a; b]
fX (x) =
0
X U([a; b]).
FX ) X
xa
ba x [a; b]
FX (x) = 0 x < a

1 x > b

[0; 1] .
[c; d]
[a; b]
dc
PX ([c; d]) = PX (]c; d]) = = FX (d) FX (c)
ba

[a; b]

a b.

(ba)
X U([a; b]) E(X) = b+a
2
2 (X) = 12
X [a; b] , X

+ b 2 b
1 1 x
E(X) = xfX (x)dx = xdx =
ba a ba 2 a
2 2
1 (b a ) b+a
= =
2 ba 2
81

[0; 1]

+ 2 3 b 2
2 2 b+a 1 x b+a
(X) = x fX (x)dx =
2 ba 3 a 2
1 (b a3 ) 1 2
3
= (a + 2ab + b2 )
3 ba 4
1 2 1
= (a + ab + b2 ) (a2 + 2ab + b2 )
3 4
(b a)2
=
12
82

83

X m
X N (m, )) fX
2
1 1 xm
fX (x) = exp
2 2
fX
x = m
2/3
[m ; m + ]
[m 2; m + 2] .
N (0, 1)

N (0, 1)

2 ,

84

X N (m, 2 ), E(X) = m 2 (X) = 2

+ 2
1 1 xm
E(X) = x exp dx
2 2
y = xm

,
+
1 1 2
E(X) = (y + m) exp y dy
2 2
+ +
1 2 m 1 2
= y exp y dy + exp y dy
2 2 2 2
+
1
= exp y 2 +m=m
2 2

E(X) = m. exp 12 y 2

y = xm

+
2 1 1 2
(X) = (y + m) exp y dy m2
2
2 2
2 +

2 1 2 2m + 1 2
= y exp y dx + y exp y dx
2 2 2 2
0
2m) ;
+
2 1 2
y y exp y dx
2 2
+
+
2 1 2 1 2
= y exp y exp y dx
2 2 2
+ +
1 1 1 1
= 2 y exp y 2 + exp y 2 dx
2 2 2 2

1. 2 (X) = 2 .
85

0 t
r = ln SSt St t (t > 0).

St = S0 er

e Graduate Programme
I joined MITAS because for Engineers and Geoscientists
I wanted real responsibili www.discovermitas.com
Maersk.com/Mitas e
I joined MITAS because for Engin
I wanted real responsibili M
Month 16
I was a construction M
supervisor ina cons
I was
the North Sea super
advising and the No
Real work he
helping foremen advis
International
al opportunities
Internationa
ree wo
work
or placements ssolve problems
Real work he
helping f
International
Internationaal opportunities
ree wo
work
or placements ssolve p
86

X m
2 ln(X) N (m, 2 ). X
2
1 ln(x)m
1
exp 2
x > 0
fX (x) = x 2

0
X LN (m, 2 ).

m = 0 = 1
87

X LN (m, 2 ), E(X) = exp m + 2
2 (X) =
exp (2m + 2 ) (exp( 2 ) 1))

2
+
1 1 ln(x) m
E(X) = exp dx
2 0 2
y = ln(x),
2
+
1 1 ym
E(X) = exp(y) exp dy
2 2

+
1 1 (y (m + 2 ))2 2
E(X) = exp exp m + dy
2 2 2 2

2
= exp m +
2

(m + 2 ) 2 .
V (X) E(X 2 ) =
exp (2(m + 2 )) V (X) = exp (2m + 2 ) (exp( 2 ) 1))
Y N (0, 1) X

2
X = exp m + Y
2
m > 0. X 1
m

X K 1
max(X K; 0)

88

E (X K)+ (x)+ = x x > 0 (x)+ = 0
fX X, :
+ +

E (X K)+ = fX (x) max(x K; 0)dx = fX (x)(x K)dx
0 K
+ +
= xfX (x)dx K fX (x)dx
K K
+
= xfX (x)dx KP (X K)
K
+
= xfX (x)dx KP (ln(X) ln(K))
K
X

2
P (ln(X) ln(K)) = P m + Y ln(K)
2

ln(K) m 2
= P Y

N (x)

ln(K) m 2
P (X K) = 1 N

ln(K) + m 2
= N

+ ln(K) + m + 2

xfX (x)dx = em N

K
89

m = 3% = 20%.

[900; 1000] .
[1000; 1100]?
90

2 t
2
Y 2 n
Y
n

Y = Xi2
i=1
Xi i,
Xi N (0, 1).

2 (X1 , ....Xn )
(m, 20 ), Y

n
2
Xi m
Y =
j=1
0
2 n
n
20 Y 1
= (Xi m)2
n n j=1

n
m X = n 1
Xi ,
i=1
Y , m X 2
n
2
n 1 n1
1
Xi X
j=1

91

2 2

t
Y t
n Y
Z
Y =
X
n
Z X 2
n
92

n) n/(n 2)
3(n2)/(n4). n > 4.
n = 6,

Y

X
n
Y = X

n
X1 (X2 ) 2 n1 (n2 )
F (n1 , n2 ) F (n2 , n1 )
F

n1 n2

F

93
Probability for Finance Conditional expectations and Limit theorems

t t + 1,
t.

(, A, P ) = { 1 , 2 , 3 , 4 } , A = P() P ( i ) = 0.25
i = 1, .., 4. X Y

94

X Y
1 1 1
2 2 1
3 3 2
4 4 2
X Y
1
E(X) = (1 + 2 + 3 + 4) = 2.5
4
1
E(Y ) = (1 + 1 + 2 + 2) = 1.5
4
Y X .
Y () = 1, 1 2 .
{ 1 , 2 } {Y = 1}
{Y = 1} .

1 1
(P ( i |{Y = 1}), i = 1, ..., 4) = ; ; 0; 0
2 2
X
E (X |{Y = 1})
1
E (X |{Y = 1}) = X( i )P ( i |{Y = 1}) = (1 + 2) = 1.5
2
E(X) {Y = 1}

Y
Y. Y,

X 1.5.

95

X Y
(xi , i = 1, ..., n) (yj , j = 1, ..., p) .
X
{Y = yi } PX|Y (. |yi )
P ({X = x} {Y = yi })
PX|Y (x |yi ) = P (X = x |Y = yi ) =
P ({Y = yi })
P ({Y = yi }) = 0
Y. PX|Y (. |yi )
X.
96

fXY ,
fX fY X Y.
y fY (y) > 0,
X {Y = y} fX|Y (. |y )
fXY (x, y)
fX|Y (x |y ) =
fY (y)
X fX B
P (B) = 0 X B

fX (x)
x X(B)
fX (x |B ) = P (B)
0

A.
X
x1 , ..., xN , B A, E(X |B )

N
E(X |B ) = xi P ({X = xi } |B )
i=1
X
fX B A, E(X |B )
+
1
E(X |B ) = xfX (x)dx = xfX (x |B )dx
P (B)
X(B)
97

{Y = 2}

N

E(X |{Y = 2}) = xi P ({ i } |{Y = 2})
i=1
= 3 P ( 3 |{Y = 2}) + 4 P ( 4 |{Y = 2})
1
= (3 + 4) = 3.5
2
P ( 1 |{Y = 2}) = P ( 2 |{Y = 2}) = 0.

X Y.
Y,

X,
x1 , ..., xN , Y,
y1 , ..., yM , E(X |Y ),
N

{Y = yj } , E(X |Y )() = xi P ({X = xi } |{Y = yj })
i=1
X Y

E(X |Y )
1 1.5
2 1.5
3 3.5
4 3.5
X Y
98

X Y fX fY
fX|Y (x |y ) .
X {Y = y}
+
E (X |Y = y ) = xfX|Y (x |y )dx

X Y

+
{Y = y} , E(X |Y )() = xfX|Y (x |y )dx

Y {Y = yj }
. E(X |Y )
Y,
Y
E(X |Y ). E(X |Y )
BY .
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99

( X L1 (, A, P )), B A, B
Z,
B B, E (ZB ) = E (XB )
Z Z Z

E(X |B ).
X
E(X |B ) B.

X B, E(X |B ) = X.
Card() = , P ( i ) = pi i B
B = {, {1 , 2 } , { 3 , 4 } , }
B1 = { 1 , 2 } B2 = { 3 , 4 } X X = (x1 ; x2 ; x3 ; x4 ) .

p1 x1 + p2 x2 = p1 z1 + p2 z2
p3 x3 + p4 x4 = p3 z3 + p4 z4

Card , X
100

Z (z1 ; z2 ; z3 ; z4 ) .
B1 B2 . Z B
B1 B2 .
z1 = z2
z3 = z4

1
z1 = z2 = [p1 x1 + p2 x2 ] = E (X |B1 )
p1 + p2
1
z3 = z4 = [p3 x3 + p4 x4 ] = E (X |B2 )
p3 + p4
B1 (B2 )
X
B1 (B2 ).
X B, E (X |B )
X.
L2 , A, P )

L2 (, A, P ) .

R2 ,

d(x, y) = (x1 y1 )2 + (x2 y2 )2
x = (x1 , x2 ) y = (y1 , y2 ) .
x R2 , z =
(z1 , z1 ) x.

minz (x1 z1 )2 + (x2 z1 )2
z1 = z2 .
101
L2 (, A, P )
z1 = x +x
2

. z

x R
2
z x z.
< z x, z >= (z1 x1 )z1 + (z1 x2 )z1
x2 x1 x1 x2
= z1 + z1 = 0
2 2
R2

d (x, y) = p(x1 y1 )2 + q (x2 y2 )2

p + q = 1, p > 0, q > 0.

z1 = px1 + qx2
z1
x
L2

X
L2 (, A, P ) , E(X |B ) B
B L2 (, B, P ) .
L2 (, A, P ) R4 L2 (, B, P )
R2
E(X |B ) X
L2 (, B, P ) . E (X |B )

minZL ,B,P ) E (X Z)2 = minZL ,B,P ) d(X, Z)2 = E (X E (X |B ))2

E (X |B ) B
z1 = z2
z3 = z4

P
PB B L , B, P ).
P B.
102

E (X Z)2 = p1 (x1 z1 )2 +p2 (x2 z1 )2 +p3 (x3 z3 )2 +p4 (x4 z3 )2
z1 z3

E (X Z)2
= 2 [p1 (x1 z1 ) + p2 (x2 z1 )] = 0
z1

E (X Z)2
= 2 [p3 (x3 z3 ) + p4 (x4 z3 )] = 0
z3

1
z1 = z2 = (p1 x1 + p2 x2 ) = E (X |B ) ( 1 ) = E (X |B ) (2
)
p1 + p2
1
z3 = z4 = (p3 x3 + p4 x4 ) = E (X |B ) ( 3 ) = E (X |B ) (4
)
p3 + p4

103

(X, Y ) L2 (, A, P )
B, B A B B
X c R, E (X |B ) = c
(a, b) R2 , E (aX + bY |B ) = aE (X |B ) + bE (Y |B )
X Y, E (X |B ) E (Y |B )
E (E (X |B ) |B ) = E (X |B )
X B E (XY |B ) = X E (Y |B )
X B, E (X |B ) = E(X)
c c .
B
c L2 (, B, P ) .
L2 (, B, P ) L2 (, A, P ) ,

E (X |B ) X L2 (, B , P ) . E (E (X |B ) |B )
L2 (, B, P ) E (X |B )
L2 (, B , P )
L (, B, P )
2
L2 (, B, P ) .
B = {, } E (X |B ) = E(X)
E (E (X |B )) = E (X) B
E (X E(X) |B ) = 0 E(X)
X E(X) Y
L2 (, B, P )
E((X E(X)) Y ) = E (X E(X)) E(Y ) = 0
104

X E(X) Y.

X = (X1 , ...., Xn )
n

ai Xi
i=1
m = (E(X1 ), ..., E(Xn )) X

X. fX X
n
1 1 1 1
x R , f(x) =
n
exp (x m) X (x m)
2 Det(X ) 2

Det(X )

X = (X1 , ...., Xn )
m X ; p < n Y1 = (X1 , ...., Xp ) Y2 = (Xp+1 , ...., Xn ) .
X

11 12
X =
21 22
ii Yi ij
Yi Yj i, j = 1, 2, i = j.
Y1 Y2 = y2 Rnp

E (Y1 |Y2 = y2 ) = E(Y1 ) + 12 1
22 (y2 E(Y2 ))
Y |Y =y = 11 12 1
22 21

105

p = 1 n = 2
p = 1 n = 2
12
E (X1 |X2 = x2 ) = m1 + (y2 m2 )
22
2
X |X =x = 21 12
22
12
X |X =x = 21 (1 212 )

x = (x1 , x2 ))
1

1 exp 12 (x m) X (x m)
fX (x1 , x2 ) (2) |Det(X )|
fX |X (x1 |x2 ) = = 2
fX (x2 ) 1 1 x m
exp
2 2
1

2 exp 12 (x m) X (x m)
= 2 2 2
2 1 2 212 exp 2 1 x m

2
2 1 1 x2 m2
= 2 2 exp (x m) X (x m)
2
2 1 2 12 2 2

1 1 22 12
X = 2 2
1 2 212 12 21
1
A = (x m) X (x m),
22 x21 2 22 x1 m1 2x1 12 x2 + 2x1 12 m2

A = +
21 22 212
22 m21 + 2m1 12 x2 2m1 12 m2 + 21 x22 2 21 x2 m2 + 21 m22
21 22 212

2
fX (x1 , x2 ) 2 1 ( 22 x1 + 22 m1 + 12 x2 12 m2 )
= 2 2 exp
fX (x2 ) 2 ( 1 2 212 ) 2 22 ( 21 22 212 )
106

Probability
for Finance Conditional

expectations and Limit theorems
12
E (X1 |X2 = x2 ) = m1 + (x2 m2 )
22
2 212
X |X =x = 1 2
2
g
2

1 1 x 1 m1
(x2 m2 )
g(x1 ) = exp
2 2

2 2 1
1

2
2 1 ( 22 x1 + 22 m1 + 12 x2 12 m2 )
= 2 2 exp
2 ( 1 2 212 ) 2 22 ( 21 22 212 )
g(x1 ) = fX |X (x1 |x2 ).
X |X =x = 21 (1 212 ) X2 = x2
X1

X1
12

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107

L1 L2 .

(Xn , n N) X
(, A, P ) ;
P
(Xn , n N) X Xn X
> 0
lim P (|Xn X| > ) = 0
n+
108

a.s
(Xn , n N) X Xn X
0 P (0 ) = 1
0 , lim Xn () = X()
n+
PXn PX Xn X (Xn , n N)
L
X Xn X)
f

lim f(x).dPXn (x) = f(x).dPX (x)
n+ R R

X
E(X) = A > 0
1
P (X A)
A
A > 1
X.

X

109

X L2 (, A, P ) E(X) = m V (X) = 2 ;
B > 0
2
P (|X | B) 2
B

1
P (|X | A)
A2
A X
1
P (X A)
2A2

1
A = 20.01 = 7.0711.
A = 2.32,

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axa_ad_grad_prog_170x115.indd 1 19/12/13 16:36
110

(Xn , n N)
),
Zn = n ni=1 Xi (Zn , n N)
1
> 0
2
P (|Zn | )
n2

(Xn , n N)
Xn X X L2 )

limn+ E(Xn ) = E(X)
limn+ V (Xn X) = 0

n N)
(Xn ,
Zn = n1 ni=1 Xi
(Zn , n N)
E(|Xn |) = +, Zn
K

ri = E(ri ) + ik Fk + i
k=1
111

ri i, F1 , ..., FK
ik i
k i
i. Cov(Fk , Fj ) = 0
j = k) Cov(Fk , i ) = 0).
Cov(i , m ) = 0 i = m).

N

N N N K N
1 1 1 1
ri = E(ri ) + ik Fk + i
N i=1 N i=1 N i=1 k=1 N i=1
N K
N
N
1 1 1
= E(ri ) + Fk + i
N i=1 k=1
N i=1 ik N i=1

N

1
N i
i=1

(Xn , n N)
p; Tn
n
Xi np
Tn = i=1
np(1 p)
112

n u d

up

Y = Y1n , ..., Yk(n)
n
, n 1

k(n) n
n, sn = V
2
i=1 Yi . Y

> 0, U = U1n , ..., Uk(n)
n
,n 1

Uin = Yin |Yin | sn

= 0

k(n)
V i=1 Yin
lim =1
n+ s2n

Y = Y1n , ..., Yk(n)n
, n 1

Y1 E (Y1 ) , ...., Yk(n) E Yk(n) , n 1
n n n n
k(n) n
n 1, Zn = i=1 Yi
E (Zn ) V (Zn ) 2 = 0 Zn
Z

u d
u d

113
Probability for Finance Bibliography
114
Probability for Finance Bibliography
115

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Probability for Finance

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1. Probability spaces and random variables 10

2. Moments of a random variable 37

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2.1.1 Expectations of discrete and continous random variables 39

3. Usual probability distributions in financial models 73

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3.2 Continuous distributions 81

4. Conditional expectations and Limit theorems 94

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4.4.2 Law of large numbers 109

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= {uu; ud; du; dd}

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(B1 , B2 ) A A, B1 B2 P (B1 ) P (B2 )

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FX (x) = P ({ / X() x}) = PX ((; x])

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lim FX (x) = 0 lim FX (x) = 1

V aR(99%) = FX1 (0.01)

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Probability for Finance Probability spaces and random variables

P ({X x}) P ({Y x})

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Economics! 2nd place: MSc Economics

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