Financial market models lie at the intersection of applied probability, economics and mathematical finance, providing robust frameworks to describe asset price dynamics and risk management. Central to ...

Approximations to sums of stationary and ergodic sequences by martingales are investigated. Necessary and sufficient conditions for such sums to be asymptotically normal conditionally given the past ...

Gamblers and mathematicians maybe familiar with what is known as the Martingale probability theory or the Martingale betting strategy and the theory is simple and works on the assumption that a ...

In the present paper, we study the chaotic representation property for certain families 𝓧 of square integrable martingales on a finite time interval [0, T]. For this purpose, we introduce the notion ...

This course is available on the MSc in Quantitative Methods for Risk Management. This course is available with permission as an outside option to students on other programmes where regulations permit.

To outline, discuss, and prove with full mathematical rigour some of the key results in classical probability theory; with special emphasis on applications. This course deals with probabilistic ...