Dear Prof, I would like to thank you very much for your teaching efforts, care and clarity of instruction with which you have exercised in this course . I believe you have consciously tried your best to support the learning of newbies like me - who are keen on learning but struggling somewhat with stochastic calculus/financial calculus . For me , an illuminating example of the effectiveness of your teaching is the present video lecture on martingales - material which is not only new but quite alien to me :-) : your patient approach ,coupled with measured delivery (no pun intended :-) ) and lucid explanations have been very supportive of my attempt at absorbing the lesson /s . It's been a struggle reviewing /catching up with finance material/applied finance ,and switching to quantitative finance , especially stochastic calculus (after being away from college for ages) - but thanks you , the material is being made more accessible , And more stimulating . Thank You Sir.
Quite the opposite. Appreciating knowledge share is a must in science community. You have full respect of me in that regard. But your comment, the way you admire him conveys negative impression to the reader. Coming back to the main topic, I think he is making it look more complicated than it is. Before setting the context up giving definitions and examples make less sense. Coherence is not there. And a lot more.
@@malekebadi9805 actually he is very good, understood more than in university, grear examples, for coherence and keeping up with the lessons watch previous lectures too
Cheers for this, I been tryin to find out about "money making strategy games online" for a while now, and I think this has helped. You ever tried - Aonyanaler Bewildering Asset - (should be on google have a look ) ? It is a good exclusive guide for discovering how to making money with a proven roulette system minus the headache. Ive heard some great things about it and my cousin got amazing results with it.
Thank you so much for the brilliant example of filtration and the simplistic explanation of discrete and continuous martingales!! This has helped me a lot with my university module. Your channel is very helpful too. I cannot explain how grateful I am for these videos.
THIS LEVEL OF EXPLANATION IS FREAKING AMAZING. I watch it at 1.5x speed and understand it immediately, while I watch my lectures from my university at 0.75x speed and still can't get it
OK. THIS IS EXCEPTIONALLY GOOD. I HAVE TO ADMIT IT IS RARE TO SEE SUCH DETAILED EXPLANATION IN ANY TOP WESTERN UNIVERSITY ( I have studied Maths and economics at graduate level at Edinburgh, Lyon1 and Paris 7 universities ). It is not a bad idea to put a link for donations in your channel.
Thank you very much for your efforts. It was the most understandable explanation that I have ever seen about an abstract mathematical concept. You deserve everything.
Can someone explain to me What happened in the last couple of minutes from the 33:20 mark? like how is int(E[Xn+1 | Fn]) = int(Xn+1), I dont have a strong understanding of measurement theory so, please break it down if I am missing any context
So this video is great, however, I think there is a fundamental flaw in it. Please make sure you read my comment till the end to correct this fundamental error. Let's start with a probability space (Ω, F, P), F is the sigma-algebra We start at t_0 and the only information that we have is that three coins were tossed so: at t_0 we have F_0 = {∅,Ω, {HTT, HTH, HHT,HHH, THH, THT,TTH,TTT}} so F_0 = F at t_1 we know the first outcome so we get {HTT, HTH, HHT,HHH} or {THH, THT,TTH,TTT} so F_1 = {F_0, {HTT, HTH, HHT,HHH} ,{THH, THT,TTH,TTT}} at t_2 we know the first two outcomes so we get {HTT,HTH} or {HHT,HHH} or {THH,THT} or {TTH,TTT} so F_2 = {F_1, {HTT,HTH},{HHT,HHH}, {THH,THT}, {TTH,TTT}} at t_3 we now know all three outcomes so we get {HTT} or {HTH} or {HHT} or {HHH} or {THH} or {THT} or {TTH} or {TTT}so F_3 = {F_2, {HTT}, {HTH} ,{HHT} ,{HHH}, {THH}, {THT} , {TTH} ,{TTT}} At the end of the day, we have F= F_0 ⊆ F_1 ⊆ F_2 ⊆ F_3. The more information you get the bigger your sigma-algebra The professor said the complete opposite, How can F_3 = F? F is the sigma-algebra when you know nothing except that three coins were tossed this is equivalent to F_0.
F is the set of all subset in Omega. The smallest possible sigma algebra is F0, but the F is F3. Refer Shreve's Stochastic Calculus book I (Page No. 18). I think your doubt is between smallest possible sigma algebra and F which is the largest sigma algebra.
Lol my professor created an entire course out of these 20 videos. I have a problem paying attention in class and I lately figured out this is online. I will use this for my end terms atleast hope it will save me.
in the first set, A(H) and (T) are naturally complements of each other. In the 2nd evolution, A(HH) does not have its complement as part of the set, so you need to add A(HH) and similarly for any combination of possible combination of two revealed coins.
The final conclusion means that each iteration does not give change your expectation, meaning that your really not getting any more information from the past. So this is a memoryless system, which may be correct over small trading horizons but would utterly fail on the long term investments.
Why will you use these for long term investments? For that you will have fundamental analysis. These are useful for pricing illiquids, risk management, algos etc. Basically quant finance only. Warren Buffet said once that if he had to learn stochastic calculus to make money, he would be selling newspapers, that is because he is not an algo trader. You should also learn these topics for quantum mechanics and quantum computing
@@user-vy5uy9fo8p Thanks for your comment. These maths do apply to quantum mechanics, but fail for finance and any stochastic system that has positive feedback. If your going down this finance math route as a career or to become a trader, I suggest you learn everything in these videos (not other videos on the channel) and also read Nasim Taleb’s dynamic hedging and statistical consequences of fat tails. The second book is very dense and technical and if you understand the first 4 chapters you are good. Best of luck.
Filtration at time t : The questions that can be answered at time t E.g.) For the first toss, we can ask him whether 첫번째가 H인가(A_H) or T인가(A_T). 근데 2번째까지의 정보를 물었을때는 답할 수 없음
It's funny when professors try to get the class to complete their sentence and nobody says anything. The underlying ideas and concepts are all very intuitive, the abstraction and ambiguous nomenclature makes people hesitate
Hello sir and people reading this. I have an EA that has a probability of 52% to 48% with binary option. Payout 80. Strategies is head to tail. Is there a solution with martingale to set trade limits to be profitable ? If yes i will send you my EA for you as a thank you for your help! Just wanna no if yes or no .. kind regards thanks for this nice video
There is always some Indian guy who explains it way better than any other textbook or teaching resource out there.
Fr the backbones of academia
For the first time in years, I finally understand the concept of martingales and filtration. Thank you
HTH is written twice. One needs to be HTT at 3:59.
Thank you for the lecture!
Thank you for using neat writing on a simple blackboard instead of some electronic contraption. Much easier to follow.
Dear Prof, I would like to thank you very much for your teaching efforts, care and clarity of instruction with which you have exercised in this course .
I believe you have consciously tried your best to support the learning of newbies like me - who are keen on learning but struggling somewhat with stochastic calculus/financial calculus .
For me , an illuminating example of the effectiveness of your teaching is the present video lecture on martingales - material which is not only new but quite alien to me :-) : your patient approach ,coupled with measured delivery (no pun intended :-) ) and lucid explanations have been very supportive of my attempt at absorbing the lesson /s .
It's been a struggle reviewing /catching up with finance material/applied finance ,and switching to quantitative finance , especially stochastic calculus (after being away from college for ages) - but thanks you , the material is being made more accessible , And more stimulating .
Thank You Sir.
Quite the opposite.
Appreciating knowledge share is a must in science community. You have full respect of me in that regard. But your comment, the way you admire him conveys negative impression to the reader.
Coming back to the main topic, I think he is making it look more complicated than it is. Before setting the context up giving definitions and examples make less sense. Coherence is not there. And a lot more.
@@malekebadi9805 actually he is very good, understood more than in university, grear examples, for coherence and keeping up with the lessons watch previous lectures too
Cheers for this, I been tryin to find out about "money making strategy games online" for a while now, and I think this has helped. You ever tried - Aonyanaler Bewildering Asset - (should be on google have a look ) ? It is a good exclusive guide for discovering how to making money with a proven roulette system minus the headache. Ive heard some great things about it and my cousin got amazing results with it.
100% agree
Thank you so much for the brilliant example of filtration and the simplistic explanation of discrete and continuous martingales!! This has helped me a lot with my university module.
Your channel is very helpful too. I cannot explain how grateful I am for these videos.
Beautiful and neat handwriting. Thank you.
THIS LEVEL OF EXPLANATION IS FREAKING AMAZING. I watch it at 1.5x speed and understand it immediately, while I watch my lectures from my university at 0.75x speed and still can't get it
Cannot Thank you enough such a master peice !!! Explained in a way that even a 8th Grade student can understand it.....
Perfect explanation and examples. You made the martingales chapter in "Lawler" much easier.
Thank you sir for a very comprehensive explanation. Hoping for more lectures in stochastic process from you.
Stochastic proccesses are nothing but a sequence of random variables. Damn! What a boss!
Very clear explanation thank you. it would be nice if you can also explain the 3 martingale properties and clarify "adapted to"
OK. THIS IS EXCEPTIONALLY GOOD. I HAVE TO ADMIT IT IS RARE TO SEE SUCH DETAILED EXPLANATION IN ANY TOP WESTERN UNIVERSITY ( I have studied Maths and economics at graduate level at Edinburgh, Lyon1 and Paris 7 universities ). It is not a bad idea to put a link for donations in your channel.
This lecture is taken from Indian Institute of Technology, Kanpur NPTEL.
lyon 1 a lyon 1 ....
That is a great sample size of "ANY TOP WESTERN UNIVERSITY".
Lyon as and Paris 7 definitely are
I need the video before this one. How do martingales and filtration apply to finance? Is this to narrow down stock selection or predict price or ???
blown away -- wished I had this prof the first time I learned about them -- thank you soo much
Very clear explanation with good examples. Thank you!
Thank you professor, your teaching is excellent :) Thank you so much
This is so amazingly good. Thank you very much for your effort and for putting it online
Very nice and intuitive explanation, thank you so much Professor, very nice work ! Really worth to see
best explanation i have found so far on this topic, thanks very much!
Thank you very much for your efforts. It was the most understandable explanation that I have ever seen about an abstract mathematical concept. You deserve everything.
At 4:24, A(H) = { HHT, HTH, HTT, HHH }, second and third is same which seems invalid in video. Any idea?
In A(T) also he made the same mistake.
from Argentina, I'm so grateful for your video!
Can someone explain to me What happened in the last couple of minutes from the 33:20 mark? like how is int(E[Xn+1 | Fn]) = int(Xn+1), I dont have a strong understanding of measurement theory so, please break it down if I am missing any context
this man is amazing. God bless him OOMMGGGGG
Thank you for this expanation, I am so grateful
professor what is a super martingale and can you give us the optional stopping time for super martingale
This is gold!
Thanks so much for such a clear explanation (from a pathetic imperial college first year student... who is struggling on the research project...
that is brillant , thank you very much. i was afraid of those Things. it is clear now
Super clear explanation. Thank you.
cocok banget pak Setyo👍😁
So this video is great, however, I think there is a fundamental flaw in it. Please make sure you read my comment till the end to correct this fundamental error.
Let's start with a probability space (Ω, F, P), F is the sigma-algebra
We start at t_0 and the only information that we have is that three coins were tossed so:
at t_0 we have F_0 = {∅,Ω, {HTT, HTH, HHT,HHH, THH, THT,TTH,TTT}} so F_0 = F
at t_1 we know the first outcome so we get
{HTT, HTH, HHT,HHH} or {THH, THT,TTH,TTT} so F_1 = {F_0, {HTT, HTH, HHT,HHH} ,{THH, THT,TTH,TTT}}
at t_2 we know the first two outcomes so we get
{HTT,HTH} or {HHT,HHH} or {THH,THT} or {TTH,TTT} so F_2 = {F_1, {HTT,HTH},{HHT,HHH}, {THH,THT}, {TTH,TTT}}
at t_3 we now know all three outcomes so we get
{HTT} or {HTH} or {HHT} or {HHH} or {THH} or {THT} or {TTH} or {TTT}so F_3 = {F_2, {HTT}, {HTH} ,{HHT} ,{HHH}, {THH}, {THT} , {TTH} ,{TTT}}
At the end of the day, we have F= F_0 ⊆ F_1 ⊆ F_2 ⊆ F_3. The more information you get the bigger your sigma-algebra
The professor said the complete opposite, How can F_3 = F? F is the sigma-algebra when you know nothing except that three coins were tossed this is equivalent to F_0.
F is the set of all subset in Omega. The smallest possible sigma algebra is F0, but the F is F3. Refer Shreve's Stochastic Calculus book I (Page No. 18). I think your doubt is between smallest possible sigma algebra and F which is the largest sigma algebra.
@5:15 you have HTH and TTH twice
Thank you!
Brilliantly explained! Thanks
Excellent lecture. Thank you so much.
Lol my professor created an entire course out of these 20 videos. I have a problem paying attention in class and I lately figured out this is online. I will use this for my end terms atleast hope it will save me.
Great lecturer!
Thank you sir for a complete explanation
How does the compliment of the set A(HH) belong to the second sigma algebra?
if it belongs to the first then it also belongs to the second, if there is a filtration
in the first set, A(H) and (T) are naturally complements of each other. In the 2nd evolution, A(HH) does not have its complement as part of the set, so you need to add A(HH) and similarly for any combination of possible combination of two revealed coins.
Sadly I don't know what a "Sigma Algebra" is so could not even get started...
This is part of a series of lectures. Sigma algebra is explained in an earlier video, you need to go to the channel and follow the playlist in order.
Great!
For what level of maths is this?
At my university this is taught to financial mathematicians during the fourth semester of their bachelor program.
It can be used in Brownian motion where random movement of particles is studied.
3rd yr college statistics in the US
The final conclusion means that each iteration does not give change your expectation, meaning that your really not getting any more information from the past. So this is a memoryless system, which may be correct over small trading horizons but would utterly fail on the long term investments.
Why will you use these for long term investments? For that you will have fundamental analysis.
These are useful for pricing illiquids, risk management, algos etc. Basically quant finance only.
Warren Buffet said once that if he had to learn stochastic calculus to make money, he would be selling newspapers, that is because he is not an algo trader.
You should also learn these topics for quantum mechanics and quantum computing
@@user-vy5uy9fo8p
Thanks for your comment.
These maths do apply to quantum mechanics, but fail for finance and any stochastic system that has positive feedback.
If your going down this finance math route as a career or to become a trader, I suggest you learn everything in these videos (not other videos on the channel) and also read Nasim Taleb’s dynamic hedging and statistical consequences of fat tails. The second book is very dense and technical and if you understand the first 4 chapters you are good.
Best of luck.
Filtration at time t : The questions that can be answered at time t
E.g.) For the first toss, we can ask him whether 첫번째가 H인가(A_H) or T인가(A_T).
근데 2번째까지의 정보를 물었을때는 답할 수 없음
whole video I was looking for where is sigma, then I realized at 17:14 it is omega which he call sigma
This is fr Martin Gales??! That’s crazy guys!!!! Okay
Thank you so much, life saver
Thank you Prof
16:04 to 16:17, how could he say "belonging to". I mean for example, F_0 is a subset of of F_1 not an element!
Bravo professo'
I mean this type of mistake happens usually in teaching but that mistake is no big deal.
THIS VIDEO IS ASMR.
Thank you.. So clear..
how can a sigma algebra of four element is 18? it should be 16. at 14:50
Exactly!
Yes. It was a mistake in the explanation. it's 2^(2^2). That's the maximum number of elements in any filtration adapted to the process (2^(2^n)).
It's funny when professors try to get the class to complete their sentence and nobody says anything.
The underlying ideas and concepts are all very intuitive, the abstraction and ambiguous nomenclature makes people hesitate
YOU ARE A GOD
Thank you a lot Sir
rebii ahmed salam alikom so c'est possible on discute sur WhatsApp plz +213794880651
Thank you
Cours important sur Processus Stochastiques (Martingales)
th-cam.com/video/NLlwQWjazL4/w-d-xo.html
So many mistakes are present in the video. Watch it at your own risk.
what mistakes
A_H is written wrongly!
Hello sir and people reading this.
I have an EA that has a probability of 52% to 48% with binary option. Payout 80. Strategies is head to tail. Is there a solution with martingale to set trade limits to be profitable ? If yes i will send you my EA for you as a thank you for your help! Just wanna no if yes or no .. kind regards thanks for this nice video
Gold
Why did he do 19 min long filtration, it's just basic stuff. good lecture series though
HTT, 16
Seriously ?
This is just a mess