be a Brownian motion with respect to a ﬁltration .7:(t),t 2 0
1. Let Wt
c random walk. Which of the following stochastic
and Mn is a symmetri
processes are martingales?
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FE610: Stochastic Calculus for Financial Engineers
Lecture 7: Multivariate It Formula and
o
Midterm Review
Zhenyu Cui
Stevens Institute of Technology
Week of October 19th, 2015
d dimensional Brownian Motion
A ddimensional Brownian motion is a process
W (t

Simple Integrands
General Integrands
Stochastic Calculus(Integrands)
Thomas Lonon
Division of Financial Engineering
Stevens Institute of Technology
June 25, 2015
c 2015 The Trustees of the Stevens Institute of Technology
Simple Integrands
General Integran

Reection Principle
First Passage Times
Reection Principle and Passage
Distributions
Thomas Lonon
Department of Financial Engineering
Stevens Institute of Technology
June 16, 2015
c 2015 The Trustees of the Stevens Institute of Technology
Reection Principl

c
2016
The Trustees of the Stevens Institute1of Technology
c
2016
The Trustees of the Stevens Institute2of Technology
c
2016
The Trustees of the Stevens Institute3of Technology
c
2016
The Trustees of the Stevens Institute4of Technology
c
2016
The Trustees

Poisson Processes
Jump Processes
Poisson Processes and Jump Diffusion
Thomas Lonon
Division of Financial Engineering
Stevens Institute of Technology
April 19, 2016
c
2015
The Trustees of the Stevens Institute of Technology
Poisson Processes
Jump Processes

Stochastic Differential Equations
Markov Property
Partial Differential Equations
Interest Rate Models
PDEs and SDEs
Thomas Lonon
Division of Financial Engineering
Stevens Institute of Technology
April 5, 2016
c
2016
The Trustees of the Stevens Institute o

Markov Process
First Passage Times
Reflection Principle
First Passage Times
Markov Processes, Passage Times and
Reflection Principle
Thomas Lonon
Division of Financial Engineering
Stevens Institute of Technology
September 12, 2016
c
2016
The Trustees of t

FE514
VBA in Finance
Lecture 3
Instructor : Amin Salighehdar (asalighe@stevens.edu)
1
Conditional Execution: Using If Statements in VBA Functions
The One-Line If Statement
The one-line If statement is the simplest way to control the execution of a
VBA fu

FE514
VBA in Finance
Lecture 6
(Objects in Excel and VBA)
1
Introduction to Worksheet Objects
Objects are the basic building blocks of VBA.
We can think of an object as a sort of a container with variables, functions, and
subroutines inside.
The object

FE514
VBA in Finance
Lecture 4
(Variables and Arrays)
Instructor : Amin Salighehdar (asalighe@stevens.edu)
1
Defining Function Variables
Function variables are used to store values. Function variables can be either parameter or
simple variables. Paramete