Académique Documents
Professionnel Documents
Culture Documents
Patrick Roger
Strasbourg University, EM Strasbourg Business School
May 2010
Contents
Introduction 8
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light.
Fascinating lighting offers an infinite spectrum of
possibilities: Innovative technologies and new
markets provide both opportunities and challenges.
An environment in which your expertise is in high
demand. Enjoy the supportive working atmosphere
within our global group and benefit from international
career paths. Implement sustainable ideas in close
cooperation with other specialists and contribute to
influencing our future. Come and join us in reinventing
light every day.
Light is OSRAM
4
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Probability for Finance Contents
3.
3.1
3.1.1
3.1.2
3.1.3
Usual probability distributions in financial models
Discrete distributions
Bernoulli distribution
Binomial distribution
Poisson distribution
thinking . 73
73
73
76
78
360°
thinking . 360°
thinking .
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Discover the truth at www.deloitte.ca/careers © Deloitte & Touche LLP and affiliated entities.
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Probability for Finance Contents
Bibliography 114
�e Graduate Programme
I joined MITAS because for Engineers and Geoscientists
I wanted real responsibili� www.discovermitas.com
Maersk.com/Mitas �
I joined MITAS because for Engin
I wanted real responsibili� M
Month 16
I was a construction M
supervisor ina cons
I was
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advising and the N
Real work he
helping foremen advis
International
al opportunities
Internationa
�ree wo
work
or placements ssolve problems
Real work he
helping
International
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�ree wo
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7
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Probability for Finance Introduction
9
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Probability for Finance Probability spaces and random variables
.
T
P
P
10
∈ A
(, A) A
∅ ∈ A.
σ
σ
11
Γ,
∅, Γ .
Bj
Bj ) Γ
Bj Γ Bj
∅
12
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Probability for Finance Probability spaces and random variables
BΓ 2K
A
T > 1
T
P) t < T,
P).
Card( Card(
Card( < Card(P(.
P(
13
= {uu; ud; du; dd}
A′ = {∅; {uu; ud} ; {du; dd} ; }
P). {du; dd} = {uu; ud}c
{uu; ud} {du; dd} = ∈ A.
uu = u2
ր
u
ց
ր ud
1
ց du
ր
d
ց
dd = d2
{uu; ud}
.
{uu; ud} .
ud du
ud
Γ′ Γ.
14
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Probability for Finance Probability spaces and random variables
P () = 1
P (B) + P (B c ) = P () = 1
16
P (∅) = 0
∀ 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 n∈N Bn .
n
(Bn , n ∈ N) vn = P p=1 B p
P (∅) = 0
(Bn , n ∈N)
P n∈N 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
[0; 1] × [0; 1]
R2 ; σ
A
, P (A) A P P () = 1;
P
[0; 1] × [0; 1]
18
1 2 1
P (B1 ) = × =
2 3 3
1 1 1
P (B2 ) = × =
3 2 6
19
1
18 1
P (B1 |B2 ) = 1 = = P (B1 )
6
3
B1 B2 .
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Probability for Finance Probability spaces and random variables
B1 B2
B1 ,
B2 B1
∀B ∈ G, ∀B ′ ∈ G ′ , P (B ∩ B ′ ) = P (B) × P (B ′ )
21
n, Cn ⊂ B,
22
(B, AB , P (. |B )).
23
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Probability for Finance Probability spaces and random variables
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 ) = 10−4
P (C |B1 ) = 0.99
P (C |B2 ) = 0.01
0.99 × 10−4
P (B1 |C ) = ≃ 0.01
0.99 × 10−4 + 0.01 × (1 − 10−4 )
25
26
27
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Probability for Finance Probability spaces and random variables
Card() =
4 X, Y
X
X(ω)
Y (ω) = 2.
ω 2 ω 4 Y
X.
X Y
ω1
ω2
ω3
ω4
1, S1
{du; dd} {uu; ud}
B1
B1 = {∅, , {du; dd} , {uu; ud}}
28
29
30
X(ω)
() 3×() 3×()
= 35
= 63
= 21 1
() 120 () 120 () 120 120
3
/ 3 = 35/120.
63 + 35 + 21 + 1 = 120
{X = k} {ω ∈ X(ω) = k}.
31
(, A, P )
PX BX
A BX A.
−∞ +∞ n
P (X ≥ x) = 1 − FX (x) = 0.99
X
|x| .
32
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Probability for Finance Probability spaces and random variables
34
X {x1 , ..., xn } ,
xi = xj i = j Γ = {B1 , ..., Bn }
n
X= xi Bi
i=1
Card() < +∞
{ω }
i
35
fX (g −1 (x))
fY (x) = x ∈ Y ()
|g ′ (g −1 (x))|
= 0
36
37
4021
40 63
1 40 21 40 63
$40 × +$ × +$ × = $1
120 21 120 63 120
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Probability for Finance Moments of a random variable
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
X Y X + Y
39
V
(, A, P ) X
X E(X) XdP,
E(X) = XdP = sup {E(Y ), Y ≤ X}
Y ∈V
X = X+ − X−
V
f sup∈ f (x)
f(x) x ∈ A.
40
41
X X + − X −
42
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Probability for Finance Moments of a random variable
50 = 12 (0 + 100)
E(X)
X.
E [u(X)] ≤ u [E(X)]
u(x)
(x1 , u(x1 )) (x2 , u(x2 )).
f (x, y) λ ∈ [0; 1] , f(λx + (1 − λ)y) ≥
λf (x) + (1 − λ)f(y)
43
u′ > 0
u′′ < 0
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
45
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Probability for Finance Moments of a random variable
2 (X) = 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
σ σ
46
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, σ(X) V (X)
σ(X) = V (X)
47
48
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Probability for Finance Moments of a random variable
n (X) = E(X n )
3 (X − E(X))
Sk(X) =
σ(X)3
n xi − x 3
=
Sk
(n − 1)(n − 2) s
Sk = −0.73
49
50
d(f, g) = 0 f g
51
∈ /⇔X(ω)
P (ωXRY X == = 1
Y YP(ω))
X = Y a.s ⇔ P (X = Y ) = 1
XRY ⇔ X = Y P
P P
P P
52
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Probability for Finance Moments of a random variable
X + Y 1 ≤ X1 + Y 1
αX1 = |α| X1
53
L
Xn → X.
54
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
RUN FASTER.
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∀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
< x, y >= x y .
57
A
∀λ ∈ [0; 1] , ∀(x, y) ∈ A × A, λx + (1 − λ)y ∈ A.
R , x y < x, y > / x . y .
This e-book
is made with SETA SIGN
SetaPDF
A
∀λ ∈ [0; 1] , ∀(x, y) ∈ A × A, λx + (1 − λ)y ∈ A.
R , x y < x, y > / x . y .
PDF components for PHP developers
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Probability for Finance Moments of a random variable
X − Z, Y − Z 0 Y ∈ C
59
E(X) = E(Y ) = 2.
60
X Y
X, Y
ρXY =
X2 Y 2
ρXY
X Y.
61
Cov(aX + b, cZ + d) = ac × Cov(X, Z)
ρaX+b,cZ+d = sign(ac) × ρXZ
Y
W
σ(aX + b) = |a| σ(X) σ(cY + d) = |c| σ(Y )
www.sylvania.com
We do not reinvent
the wheel we reinvent
light.
Fascinating lighting offers an infinite spectrum of
possibilities: Innovative technologies and new
markets provide both opportunities and challenges.
An environment in which your expertise is in high
demand. Enjoy the supportive working atmosphere
within our global group and benefit from international
career paths. Implement sustainable ideas in close
cooperation with other specialists and contribute to
influencing our future. Come and join us in reinventing
light every day.
Light is OSRAM
62
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Probability for Finance Moments of a random variable
63
X0 = EQ (X1 )
= {ω 1 , ω 2 } , X1 (ω 1 ) = 200 X1 (ω 2 ) = 0.
Q(ω 1 ) = q1 = 0.45
Q(ω 2 ) = q2 = 1 − q1 = 0.55
q1 × 200 + q2 × 0 = 90
q1 + q2 = 1
Q′ Y0 = EQ′ (Y1 ).
150Q′ (ω 1 ) + 110 (1 − Q′ (ω 1 )) = 120
64
θZ
−2 × 130 + 5 × 120 − 350 = −10
(X0 , Y0 )
65
Q”(ω 1 ) = 12
40
= 0.3.
r
1+r
1
, X1
360°
1
.
X0 = EQ (X1 )
1+r
thinking
360°
thinking . 360°
thinking .
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∀B ∈ A, P (B) = 0 ⇒ Q(B) = 0
∀B ∈ A, P (B) = 0 ⇔ Q(B) = 0
67
dQ dP
= 1/
dP dQ
EQ (X1 ) = E (φX1 )
Card() = N A = P () P (ω) > 0
ω
Q({ω}) = φdP = φ(ω)P (ω)
{ω}
68
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Probability for Finance Moments of a random variable
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
σ 1 ... σ 1j σ 1n
X = σ j1 2
σj
2
σ n1 σn
70
E(R) = U ′ E(X)
V (R) = U ′ X U
E(X)
U
n
Ui = 1
i=1
71
72
χ2 , t
73
X = X .
74
�e Graduate Programme
I joined MITAS because for Engineers and Geoscientists
I wanted real responsibili� www.discovermitas.com
Maersk.com/Mitas �
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 supe
advising and the N
Real work he
helping foremen advis
International
al opportunities
Internationa
�ree wo
work
or placements ssolve problems
Real work he
helping
International
Internationaal opportunities
�ree wo
work
or placements ssolve p
75
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Probability for Finance Usual probability distributions in financial models
s = 0 s = t
t
ln(u) ln(d) p 1 − p.
76
77
λk
∀k ∈ N, P (X = k)= exp(−λ)
k!
X ∼ P(λ).
P(2).
78
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Probability for Finance Usual probability distributions in financial models
+∞
+∞
+∞
λk λk
E(X) = kP (X = k) = k exp(−λ) = exp(−λ) k
k! k!
k=0 k=0 k=1
+∞
+∞ k
λk−1 λ
= λ exp(−λ) = λ exp(−λ) = λ exp(−λ) exp(λ) = λ
k=1
(k − 1)! k=0
k!
79
+∞
k +∞
k +∞
2λ 2λ λk−1
k = k =λ k
k=0
k! k=1
k! k=1
(k − 1)!
+∞
+∞
λk−1 λk−1
= λ (k − 1) +λ
(k − 1)! (k − 1)!
k=1 k=1
+∞ k
+∞ k
2 λ λ
= λ +λ
k! k=0k=0
k!
2
= λ + λ exp(λ)
P(λ),
80
[0; 1] .
[c; d]
[a; b]
d−c
PX ([c; d]) = PX (]c; d]) = = FX (d) − FX (c)
b−a
[a; b]
a b.
81
82
83
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Probability for Finance Usual probability distributions in financial models
N (0, 1)
84
+∞ 2
1 1 x−m
E(X) = √ x exp − dx
σ 2π −∞ 2 σ
y = x−m
σ
,
+∞
1 1 2
E(X) = √ (σy + m) exp − y dy
2π −∞ 2
+∞ +∞
σ 1 2 m 1 2
= √ y exp − y dy + √ exp − y dy
2π −∞ 2 2π −∞ 2
+∞
σ 1
= − √ exp − y 2 +m=m
2π 2 −∞
E(X) = m. exp − 12 y 2
1. σ 2 (X) = σ 2 .
85
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Probability for Finance Usual probability distributions in financial models
X ∼ LN (m, σ 2 ).
m = 0 σ = 1
87
2
+∞
1 1 y−m
E(X) = √ exp(y) exp − dy
σ 2π −∞ 2 σ
m σ σ > 0. X 1
m σ
X K 1
max(X − K; 0)
88
+∞ − ln(K) + m + σ2
89
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Probability for Finance Usual probability distributions in financial models
Xi ∀i,
Xi ∼ N (0, 1).
σ 2 (X1 , ....Xn )
(m, σ 20 ), Y
n
2
Xi − m
Y =
j=1
σ0
91
92
93
94
X Y
ω1 1 1
ω2 2 1
ω3 3 2
ω4 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 .
95
P ({X = x} ∩ {Y = yi })
PX|Y (x |yi ) = P (X = x |Y = yi ) =
P ({Y = yi })
96
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Probability for Finance Conditional expectations and Limit theorems
fXY (x, y)
fX|Y (x |y ) =
fY (y)
97
X Y.
Y,
E(X |Y )
ω1 1.5
ω2 1.5
ω3 3.5
ω4 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
−∞
99
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Probability for Finance Conditional expectations and Limit theorems
• X
E(X |B ) B.
B = {∅, {ω1 , ω 2 } , {ω 3 , ω 4 } , }
p1 x1 + p2 x2 = p1 z1 + p2 z2
p3 x3 + p4 x4 = p3 z3 + p4 z4
Card , X
100
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.
101
z1 = x +x
2
. z
x ∈ R
2
p + q = 1, p > 0, q > 0.
z1 = px1 + qx2
z1
x
102
E (X − Z)2 = p1 (x1 −z1 )2 +p2 (x2 −z1 )2 +p3 (x3 −z3 )2 +p4 (x4 −z3 )2
95,000 km
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Probability for Finance Conditional expectations and Limit theorems
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)
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
104
X −E(X) Y.
105
p = 1 n = 2
p = 1 n = 2
σ 12
E (X1 |X2 = x2 ) = m1 + (y2 − m2 )
σ 22
σ2
X |X =x = σ 21 − 12
σ 22
ρ12
106
σ 12
E (X1 |X2 = x2 ) = m1 + (x2 − m2 )
σ 22
2 σ 212
X |X =x = σ1 − 2
σ2
g(x1 ) = fX |X (x1 |x2 ).
Maastricht
University is
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university in the
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Master’s Open Day: 22 February 2014
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Probability for Finance Conditional expectations and Limit theorems
P
(Xn , n ∈ N) X Xn → X
ε > 0
lim P (|Xn − X| > ε) = 0
n→+∞
108
a.s
(Xn , n ∈ N) X Xn → X
0 ⊂ P (0 ) = 1
∀ω ∈ 0 , lim Xn (ω) = X(ω)
n→+∞
109
110
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Probability for Finance Conditional expectations and Limit theorems
σ2
P (|Zn − | ≥ ε) ≤
nε2
limn→+∞ V (Xn − X) = 0
111
N
1
N εi
i=1
p
112
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 ) → σ 2 = 0 Zn
Z
113
114
115