Probability for Finance
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Arthur KimaniProbability for Finance
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Arthur KimaniProbability for Finance
Patrick Roger
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Probability for Finance
Patrick Roger
Strasbourg University, EM Strasbourg Business School
May 2010
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Probability for Finance
© 2010 Patrick Roger & Ventus Publishing ApS
ISBN 978-87-7681-589-9
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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 σ algebra (or tribe) on a set Ω 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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Probability for Finance Contents
2.1.1 Expectations of discrete and continous random variables 39
2.1.2 Expectation: the general case 40
2.1.3 Illustration: Jensen’s 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 (Ω, A, P) 53
2.3.3 The space L2 (Ω, 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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Probability for Finance Contents
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 (Ω, 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
360°
thinking . 360°
thinking .
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Probability for Finance Contents
4.4.2 Law of large numbers 109
4.4.3 Central limit theorem 112
Bibliography 114
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Probability for Finance Introduction
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Probability for Finance Introduction
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Probability for Finance Probability spaces and random variables
t = 0 T = 1.
.
T
P
P
10
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Probability for Finance Probability spaces and random variables
,
σ
σ
P()
σ A P()
∈ A
∀ B ∈ A, B c ∈ A B c B B c =
{ω ∈ /ω ∈/ B} . A
(Bn , n ∈ N) A, +∞
n=1 Bn ∈ A.
A
(, A) A
T = 1 ω
A ω ∈ A A ω ∈
/ A.
, .
= {ω1 , ω 2 , ω 3 , ω 4 } ,
A = {∅, } A′ =
{∅, {ω 1 , ω 2 } , {ω 3 , ω 4 } , } A = P(),
A
(Bn , n ∈ N) A, ∩+∞
n=1 Bn ∈
A A
∅ ∈ A.
σ
σ
11
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Probability for Finance Probability spaces and random variables
Γ = {B1 , ..., BK }
Bi ∩ Bj = ∅ i = j
∪K
i=1 Bi = .
A
A.
A
Γ,
∅, Γ .
Bj
Bj ) Γ
Bj Γ Bj
∅
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Probability for Finance Probability spaces and random variables
Γ = {B1 , ..., BK }
Γ, BΓ ,
Γ.
BΓ
BΓ ∅, ,
Γ.
BΓ 2K
A
T > 1
T
P) t < T,
P).
A′ P) A A′
A A
A′ .
, A′ ) A′
= {ω 1 , ω 2 , ω 3 , ω 4 } ,
A′ = {∅, {ω 1 , ω 2 } , {ω 3 , ω 4 } , } P).
∈ A′ B A′ B c A′ {ω 1 , ω 2 } =
{ω 3 , ω 4 }c . A′ A′
{ω 1 , ω 2 } ∪ {ω 3 , ω 4 } = .
A
A′ A′ ⊂ A Γ Γ′
Card( Card(
Card( < Card(P(.
P(
13
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Probability for Finance Probability spaces and random variables
Γ Γ′
Γ′ Γ. Γ
Γ′ .
A′ A Γ A
Γ′ 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
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
du.
R,
BR .
R R. BR
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Probability for Finance Probability spaces and random variables
(, 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 ) = 1−P (B).
B B c
σ
16
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Probability for Finance Probability spaces and random variables
(, 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→+∞
n∈N
(Bn , n ∈ N) Bn ⊃ Bn+1
A
lim P (Bn ) = P Bn
n→+∞
n∈N
∀ 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
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Probability for Finance Probability spaces and random variables
Card() = N A = P() ;
A
1
∀ω ∈ , P (ω) =
N
[0; 1] × [0; 1]
R2 ; σ
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 (ω)
P ({ω})
18
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Probability for Finance Probability spaces and random variables
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
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Probability for Finance Probability spaces and random variables
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
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Probability for Finance Probability spaces and random variables
B1 B2
B1 ,
B2 B1
σ
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
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Probability for Finance Probability spaces and random variables
B ∈ AB B = B (Cn , n ∈ N)
Cn = An B
Cn = An B = An B
n∈N n∈N n∈N
A An ∈ A
n∈N n∈N 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 n∈N Cn B P n∈N (Cn B)
P Cn |B = =
n∈N
P (B) P (B)
n, Cn ⊂ B,
P n∈N Cn n∈N P (Cn ) n∈N P (Cn B)
= = = P (Cn |B )
P (B) P (B) P (B) n∈N
t B.
22
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Probability for Finance Probability spaces and random variables
(B, AB , P (. |B )).
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Probability for Finance Probability spaces and random variables
(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
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Probability for Finance Probability spaces and random variables
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 )
T = 1
R+
R
(S − S )/S ,
ln(S /S ), −∞.
25
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Probability for Finance Probability spaces and random variables
[−2%; 2%]
(, A) (E, B)
E X → E
∀B ∈ B, X −1 (B) ∈ A
X −1 (B) X −1 (B) = {ω ∈ / X(ω) ∈ 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
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Probability for Finance Probability spaces and random variables
BX A,
A
A
X
t Ft
s > t.
Ft ⊂ Fs
uu ud
A = P,
R
A.
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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
X Y
BX = P()
BY = {∅, , {ω 1 } , {ω 2 , ω 4 } , {ω 3 } , {ω 1 , ω 3 } , {ω 1 , ω 2 , ω 4 } , {ω 3 , ω 2 , ω 4 }}
BY Y
St t
uSt−1 p
St =
dSt−1 1 − p
= {uu; ud; du; dd}
S0
B0 = {∅, } . ∅
.
1, S1
{du; dd} {uu; ud}
B1
B1 = {∅, , {du; dd} , {uu; ud}}
28
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Probability for Finance Probability spaces and random variables
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)
= {ω 1 , ω 2 , ω 3 , ω 4 } A = P()
X Y
1 1
−1 2
(X, Y ) = 1
2
−1 1
Y = 1, X
ω 1 ω 4 Y = 2,
X ω 2 ω 3 .
Y BX
X Y
X Y
X Y aX bY a
29
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Probability for Finance Probability spaces and random variables
b
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 ({ω ∈ / X(ω) ∈ B})
(E, B) = (R, BR ) , X
FX , R [0; 1]
FX (x) = P ({ω ∈ / X(ω) ≤ x}) = PX ((−∞; x])
30
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Probability for Finance Probability spaces and random variables
X(ω)
() 3×() 3×()
= 35
= 63
= 21 1
() 120 () 120 () 120 120
A
PX
P
X
nk = k!(n−k)!
n!
k
n 10
3
10!
= 3!(10−3)! = 120 .
1
A = P() P (ω) = 120 .
PX X
{X = k} k = 0, ..., 3
P (X = 3) =
1
120
. {X = 2} ,
P (X = 2) = 3×7 120
. {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} {ω ∈ X(ω) = k}.
31
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Probability for Finance Probability spaces and random variables
(, 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
x
P (X ≥ x) = 1 − FX (x) = 0.99
X
X
V aR(99%) = FX−1 (0.01)
|x| .
32
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x X Y.
Probability for Finance Probability spaces and random variables
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.
33
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Probability for Finance Probability spaces and random variables
X
(xn , n ∈ N)
P ({ω ∈ / X(ω) = xn }) = P (X = xn ) = 1
n∈N n∈N
(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 (ω) = 1 ω ∈ B
= 0
ω ω B.
K = 1000 XT
T. 100 ×
{XT ≥1000} {XT ≥ 1000} = {ω ∈ / XT (ω) ≥ 1000} .
34
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Probability for Finance Probability spaces and random variables
X {x1 , ..., xn } ,
xi = xj i = j Γ = {B1 , ..., Bn }
n
X= xi Bi
i=1
Bi = {ω ∈ / X(ω) = xi } , i =
1, 2, ..., n.
Card() = N X(ω i ) = xi
N
X= xi {ω }
i
i=1
Card() < +∞
{ω }
i
X,
Y = g(X) g
• g
K T,
YT = g(XT ) = max(XT − K; 0) XT
T
35
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Probability for Finance Probability spaces and random variables
•
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 (ω) ω ∈ } .
36
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Probability for Finance Moments of a random variable
37
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Probability for Finance Moments of a random variable
4021
40 63
1 40 21 40 63
$40 × +$ × +$ × = $1
120 21 120 63 120
38
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Probability for Finance Moments of a random variable
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
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Probability for Finance Moments of a random variable
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
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Probability for Finance Moments of a random variable
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
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Probability for Finance Moments of a random variable
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
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Probability for Finance Moments of a random variable
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) λ ∈ [0; 1] , f(λx + (1 − λ)y) ≥
λf (x) + (1 − λ)f(y)
43
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Probability for Finance Moments of a random variable
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
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Probability for Finance Moments of a random variable
+∞
+∞
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)
45
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Probability for Finance Moments of a random variable
X.
X,
2 (X)
2 (X) = E(X 2 )
2 (X) X
X
X, V (X) σ 2 (X)
V (X) = σ 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
σ σ
46
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Probability for Finance Moments of a random variable
card() = P (ω) = 0.25 ω, 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, σ(X) V (X)
σ(X) = V (X)
47
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Probability for Finance Moments of a random variable
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Probability for Finance Moments of a random variable
n X,
n (X)
n (X) = E(X n )
X
3. X, Sk(X)
3 (X − E(X))
Sk(X) =
σ(X)3
(x1 , x2 , ...., xn )
X, Sk(X)
n xi − x 3
=
Sk
(n − 1)(n − 2) s
Sk = −0.73
49
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Probability for Finance Moments of a random variable
X
4 (X − E(X))
κ(X) =
σ4
X
eκ(X) = κ(X) − 3
κ = 3.
κ(X)
κ(X) =
8.93
L0 (, A) (, A).
∀ω ∈ , (X + Y ) (ω) = X(ω) + Y (ω)
∀ω ∈ , ∀c ∈ R, (cX)(ω) = cX(ω)
L0 (, A)
P .
P
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Probability for Finance Moments of a random variable
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] . fˆ ĝ
f g, d(fˆ, ĝ)
(f, g) fˆ × ĝ.
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
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Probability for Finance Moments of a random variable
L1 (, A, P )
P
(, A, P ).
X Y (, A, P )
P
P
R
L1 (, A, P )
∈ /⇔X(ω)
P (ωXRY X == = 1
Y YP(ω))
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
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Probability for Finance Moments of a random variable
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
ω ∈ , |X(ω) + Y (ω)| ≤ |X(ω)| + |Y (ω)| ,
E(|X + Y |) ≤ E(|X|) + E(|Y |)
αX1 = |α| 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
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Probability for Finance Moments of a random variable
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
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Probability for Finance Moments of a random variable
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
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Probability for Finance Moments of a random variable
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
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Probability for Finance Moments of a random variable
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(ω i )Yf (ω i )P (ω i )
i=1
X = ei = {ωi } ,
ω i .
f (ei ) = ei , Yf = P (ω i )Yf (ω i )
f (ei )
ω i .
P (ω i ) Yf (ω i ). Yf (ω i )
f(ei )
Yf (ω i )
Yf (ω i )
Yf (ω i )
ω i X,
N
X= xi ei
i=1
X(ω i ) = xi .
N
N
f (X) = X, Yf = xi f (ei ) = xi Yf (ω i )P (ω i )
i=1 i=1
R , x y
< x, y >= x y .
57
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C C
z)
Probability for Finance Moments of a random variable
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
∀λ ∈ [0; 1] , ∀(x, y) ∈ A × A, λx + (1 − λ)y ∈ A.
R , x y < x, y > / x . y .
A
∀λ ∈ [0; 1] , ∀(x, y) ∈ A × A, λx + (1 − λ)y ∈ A.
R , x y < x, y > / x . y .
58
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Probability for Finance Moments of a random variable
R2
C L2 X ∈ L2 .
Z ∈ C
X − Z, Y − Z 0 Y ∈ C
Z X C.
59
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Probability for Finance Moments of a random variable
X Y L2 (, A, P )
X Y, Cov(X, Y ) σ XY )
cov(X, Y ) = E [(X − E(X)) (Y − E(Y ))]
X Y
X(ω) Y (ω)
ω1
ω2
ω3
ω4
X Y
E(X) = E(Y ) = 2.
X(ω) − E(X) Y (ω) − E(Y )
ω1
ω2
ω3
ω4
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×σ XZ +ad×σ XW +bc×σ Y Z +bd×σ Y W
Cov(aX, Y ) = aCov(X, Y ).
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Probability for Finance Moments of a random variable
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 ρXY ,
Cov(X, Y )
ρXY =
σ(X)σ(Y )
σ(X) σ(Y ) X Y.
X Y
ρXY Cov( σ(X) , σ(Y )
),
X Y
X, Y
ρXY =
X2 Y 2
ρXY
X Y.
1 √
σ(X) = ((−1)2 + (−2)2 + (1)2 + (2)2 ) = 2.5 = 1.58
4
1
σ(Y ) = ((1)2 + (−1)2 + (−1)2 + (1)2 ) = 1
4
0.5
ρXY = = 0.316
1.58
61
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Probability for Finance Moments of a random variable
X Y
ρ
X Z L2 a, b, c, d
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 )
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Probability for Finance Moments of a random variable
X Y L2
X1
X1
X0 = 90
1
E (X1 ) = [0 + 200] = 100
2
E (X1 )
X0 = = 90
1 + Riskpremium
X0
63
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Probability for Finance Moments of a random variable
Q P
X0 = EQ (X1 )
= {ω 1 , ω 2 } , X1 (ω 1 ) = 200 X1 (ω 2 ) = 0.
Q
Q(ω 1 ) = q1 = 0.45
Q(ω 2 ) = q2 = 1 − q1 = 0.55
EQ (X1 ) = 90 = X0 .
Q
q1 × 200 + q2 × 0 = 90
q1 + q2 = 1
Q
X1 (ω 1 ) = 200 X1 (ω 2 ) = 100 X0 = 130
Y1 (ω 1 ) = 150 Y1 (ω 2 ) = 110 Y0 = 120
Q X0 = EQ (X1 ).
130 = 200Q(ω1 ) + 100 (1 − Q (ω1 ))
Q(ω 1 ) = 0.3.
Q′ Y0 = EQ′ (Y1 ).
150Q′ (ω 1 ) + 110 (1 − Q′ (ω 1 )) = 120
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Probability for Finance Moments of a random variable
Q′ (ω 1 ) = 0.25.
Q Q′
Q Q′
(X0 , Y0 )
θ
200 150 1 0
θX + θY + θZ =
100 110 1 0
θZ
θX = −2; θY = 5; θZ = −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.
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Probability for Finance Moments of a random variable
Q”
122 = 150Q”(ω 1 ) + 110 (1 − Q”(ω 1 ))
Q”(ω 1 ) = 12
40
= 0.3.
Q”
Q
Q
r
1+r
1
, X1
1
X0 = EQ (X1 )
1+r
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Probability for Finance Moments of a random variable
Q
ω
ω
{ω}
ω 1
P (ω 1 ) > 0
A11 ,
A10 P (ω 1 ),
A10 = EQ (A11 ) ,
EQ (A11 ) = Q(ω 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.
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Probability for Finance Moments of a random variable
Q << P A
φ
∀B ∈ A, Q(B) = φdP
B
P (B) = 0 ⇒ Q(B) = 0
φ,
Q(B) = B φdP, φ = dQ dP
φ Q
P. P Q dQ
dP
dQ
dP
dQ dP
= 1/
dP dQ
P Q (, A)
φ = dQ
dP
.
EQ (X1 ) = E (φX1 )
X1 EQ (X1 ) X1 .
P φX1 E (φX1 ) = φ, X1
L2 (, A, P ) . φ
Card() = N A = P () P (ω) > 0
ω
Q({ω}) = φdP = φ(ω)P (ω)
{ω}
φ
Q(ω)
φ(ω) =
P (ω)
φ
68
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Probability for Finance Moments of a random variable
n
(, A, P ) (Rn , BRn ) . X =
(X1 , ...., Xn )′ Xi
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Probability for Finance Moments of a random variable
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
σ 1 ... σ 1j σ 1n
X = σ j1 2
σj
2
σ n1 σn
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
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Probability for Finance Moments of a random variable
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
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Probability for Finance Moments of a random variable
1
min U ′ X U
2
U ′ E(X) = e
U ′ =1
12
1
L (U, λ, ) = U ′ X U + λ (e − U ′ E(X)) + (1 − U ′ )
2
X = E(X) =
∂L
= U − λ− =
∂U
∂L
= e − U ′ =
∂λ
∂L
= 1 − U ′ =
∂
U = λ−1 +−1
e = λ′ −1 +′ −1
1 = λ′ −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
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Probability for Finance Usual probability distributions in financial models
χ2 , t
X
p X p 1 − p.
73
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Probability for Finance Usual probability distributions in financial models
B ∈ A P (B) = p, B
p.
B ∼ B(p)
X a b (a > b)
p 1 − p, Y = a−b 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 σ 2 (X) = p(1 − p)
X
p, E(X)
E(X) = p × 1 + (1 − p) × 0 = p
X, σ 2 (X)
σ 2 (X) = E(X 2 ) − E(X)2 = p − p2 = p(1 − p)
X = X .
74
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Probability for Finance Usual probability distributions in financial models
Y y1 y2
p (1 − p).
σ 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
σ 2 (Y ) = (y1 − y2 )2 σ 2 (X) = p(1 − p)(y1 − y2 )2
Y
y1 = ln(u) y2 = ln(d).
u 2
σ 2 (Y ) = p(1 − p) ln
d
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Probability for Finance Usual probability distributions in financial models
u d
X
n p X n
Xi , i = 1, ..., n, B(p).
n k
P (X = k) = p (1 − p)n−k
k
nk = k!(n−k)!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
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Probability for Finance Usual probability distributions in financial models
ln(St ) B(n, p)
n k
P (ln(St ) = ln(S0 ) + k × u) = p (1 − p)t−k
k
nk
k t − k
X ∼ B(n, p) E(X) = np σ 2 (X) = np(1 − p)
B(n, p) n
B(p)).
X ∼ B(n, p)
E(X) = np σ 2 (X) = np(1 − p)
n
t
St
E ln = t (p ln (u) + (1 − p) ln(d))
S0
u 2
2 St
σ ln = tp(1 − p) ln
S0 d
StSt−St .
77
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Probability for Finance Usual probability distributions in financial models
X
λ X
λk
∀k ∈ N, P (X = k)= exp(−λ)
k!
X ∼ P(λ).
P(2).
360°
.
thinking
360°
thinking . 360°
thinking .
Discover the truth at www.deloitte.ca/careers D
© Deloitte & Touche LLP and affiliated entities.
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© Deloitte & Touche LLP and affiliated entities.
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© Deloitte & Touche LLP and affiliated entities.
Probability for Finance Usual probability distributions in financial models
P(2)
X ∼ P(λ) E(X) = λ σ 2 (X) = λ
xk
e = +∞
x
k=0 k! .
+∞
+∞
+∞
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!
+∞
λk
σ 2 (X) = E(X 2 ) − E(X)2 = exp(−λ) k2 − λ2
k=0
k!
79
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Probability for Finance Usual probability distributions in financial models
+∞
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)
σ 2 (X) = λ.
P(λ)
B(n, p) n p
n
p
np np(1 − p)
np(1 − p) ≃ np
p
λ = np.
P(λ),
80
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Probability for Finance Usual probability distributions in financial models
X [a; b] ,
a < b, fX
1
b−a
x ∈ [a; b]
fX (x) =
0
X ∼ U([a; b]).
FX ) X
x−a
b−a x ∈ [a; b]
FX (x) = 0 x < a
1 x > b
[0; 1] .
[c; d]
[a; b]
d−c
PX ([c; d]) = PX (]c; d]) = = FX (d) − FX (c)
b−a
[a; b]
a b.
(b−a)
X ∼ U([a; b]) E(X) = b+a
2
σ 2 (X) = 12
X [a; b] , X
+∞ b 2 b
1 1 x
E(X) = xfX (x)dx = xdx =
−∞ b−a a b−a 2 a
2 2
1 (b − a ) b+a
= =
2 b−a 2
81
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Probability for Finance Usual probability distributions in financial models
[0; 1]
+∞ 2 3 b 2
2 2 b+a 1 x b+a
σ (X) = x fX (x)dx − = −
−∞ 2 b−a 3 a 2
1 (b − a3 ) 1 2
3
= − (a + 2ab + b2 )
3 b−a 4
1 2 1
= (a + ab + b2 ) − (a2 + 2ab + b2 )
3 4
(b − a)2
=
12
82
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Probability for Finance Usual probability distributions in financial models
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Probability for Finance Usual probability distributions in financial models
X m
σ X ∼ N (m, σ)) fX
2
1 1 x−m
fX (x) = √ exp −
σ 2π 2 σ
fX
x = m
2/3
[m − σ; m + σ]
[m − 2σ; m + 2σ] .
N (0, 1)
N (0, 1)
χ2 ,
84
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Probability for Finance Usual probability distributions in financial models
X ∼ N (m, σ 2 ), E(X) = m σ 2 (X) = σ 2
+∞ 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
y = x−m σ
+∞
2 1 1 2
σ (X) = √ (σy + m) exp − y dy − m2
2
2π −∞ 2
2 +∞
σ 2 1 2 2mσ +∞ 1 2
= √ y exp − y dx + √ y exp − y dx
2π −∞ 2 2π −∞ 2
0
2mσ) ;
+∞
σ2 1 2
√ y × y exp − y dx
2π −∞ 2
+∞
+∞
σ2 1 2 1 2
= √ y exp − y − − exp − y dx
2π 2 −∞ −∞ 2
+∞ +∞
1 1 1 1
= σ 2 √ y exp − y 2 +√ exp − y 2 dx
2π 2 −∞ 2π −∞ 2
1. σ 2 (X) = σ 2 .
85
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Probability for Finance Usual probability distributions in financial models
0 t
r = ln SSt St t (t > 0).
St = S0 er
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Probability for Finance Usual probability distributions in financial models
X m
σ 2 ln(X) ∼ N (m, σ 2 ). X
2
√ 1 ln(x)−m
1
exp − 2 σ
x > 0
fX (x) = xσ 2π
0
X ∼ LN (m, σ 2 ).
m = 0 σ = 1
87
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Probability for Finance Usual probability distributions in financial models
σ
X ∼ LN (m, σ 2 ), E(X) = exp m + 2
σ 2 (X) =
exp (2m + σ 2 ) (exp(σ 2 ) − 1))
2
+∞
1 1 ln(x) − m
E(X) = √ exp − dx
σ 2π 0 2 σ
y = ln(x),
2
+∞
1 1 y−m
E(X) = √ exp(y) exp − dy
σ 2π −∞ 2 σ
+∞
1 1 (y − (m + σ 2 ))2 σ2
E(X) = √ exp − exp m + dy
σ 2π −∞ 2 σ2 2
σ2
= exp m +
2
(m + σ 2 ) σ 2 .
V (X) E(X 2 ) =
exp (2(m + σ 2 )) V (X) = exp (2m + σ 2 ) (exp(σ 2 ) − 1))
Y ∼ N (0, 1) X
σ2
X = exp m− + σY
2
m σ σ > 0. X 1
m σ
X K 1
max(X − K; 0)
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Probability for Finance Usual probability distributions in financial models
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
σ2
P (ln(X) ≥ ln(K)) = P m− + σY ≥ ln(K)
2
σ
ln(K) − m − 2
= P Y ≥
σ
N (x)
ln(K) − m − σ2
P (X ≥ K) = 1 − N
σ
− ln(K) + m − σ2
= N
σ
+∞ − ln(K) + m + σ2
xfX (x)dx = em N
σ
K
89
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Probability for Finance Usual probability distributions in financial models
m = 3% σ = 20%.
[900; 1000] .
[1000; 1100]?
�e Graduate Programme
I joined MITAS because for Engineers and Geoscientists
I wanted real responsibili� www.discovermitas.com
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or placements ssolve p
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Probability for Finance Usual probability distributions in financial models
χ2 t
χ2
Y χ2 n
Y
n
Y = Xi2
i=1
Xi ∀i,
Xi ∼ N (0, 1).
σ 2 (X1 , ....Xn )
(m, σ 20 ), Y
n
2
Xi − m
Y =
j=1
σ0
χ2 n
n
σ 20 Y 1
= (Xi − m)2
n n j=1
n
m X = n 1
Xi ,
i=1
Y ∗ , m X χ2
n
2
n − 1 n−1
1
Xi − X
j=1
91
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Probability for Finance Usual probability distributions in financial models
χ2 χ2
t
Y −t
n Y
Z
Y =
X
n
Z X χ2
n
92
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Probability for Finance Usual probability distributions in financial models
n) n/(n − 2)
3(n−2)/(n−4). n > 4.
n = 6,
F
Y
X
n
Y = X
n
X1 (X2 ) χ2 n1 (n2 )
F (n1 , n2 ) F (n2 , n1 )
F
n1 n2
F
93
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Probability for Finance Conditional expectations and Limit theorems
t t + 1,
t.
(, A, P ) = {ω 1 , ω 2 , ω 3 , ω 4 } , A = P() P (ω i ) = 0.25
i = 1, .., 4. X Y
94
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Probability for Finance Conditional expectations and Limit theorems
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 .
Y (ω) = 1, ω ω1 ω 2 .
{ω 1 , ω 2 } {Y = 1}
{Y = 1} .
1 1
(P (ω i |{Y = 1}), i = 1, ..., 4) = ; ; 0; 0
2 2
X
E (X |{Y = 1})
1
E (X |{Y = 1}) = X(ω i )P (ω i |{Y = 1}) = (1 + 2) = 1.5
2
E(X) {Y = 1}
Y
Y. Y,
X 1.5.
95
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Probability for Finance Conditional expectations and Limit theorems
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.
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Probability for Finance Conditional expectations and Limit theorems
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)
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Probability for Finance Conditional expectations and Limit theorems
{Y = 2}
N
E(X |{Y = 2}) = xi P ({ω i } |{Y = 2})
i=1
= 3 × P (ω 3 |{Y = 2}) + 4 × P (ω 4 |{Y = 2})
1
= (3 + 4) = 3.5
2
P (ω 1 |{Y = 2}) = P (ω 2 |{Y = 2}) = 0.
X Y.
Y,
X,
x1 , ..., xN , Y,
y1 , ..., yM , E(X |Y ),
N
∀ω ∈ {Y = yj } , E(X |Y )(ω) = xi P ({X = xi } |{Y = yj })
i=1
X Y
E(X |Y )
ω1 1.5
ω2 1.5
ω3 3.5
ω4 3.5
X Y
98
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Probability for Finance Conditional expectations and Limit theorems
X Y fX fY
fX|Y (x |y ) .
X {Y = y}
+∞
E (X |Y = y ) = xfX|Y (x |y )dx
−∞
X Y
+∞
∀ω ∈ {Y = y} , E(X |Y )(ω) = xfX|Y (x |y )dx
−∞
Y {Y = yj }
. E(X |Y )
Y,
Y
E(X |Y ). E(X |Y )
BY .
99
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Probability for Finance Conditional expectations and Limit theorems
( 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 (ω i ) = pi ω i B
B = {∅, {ω1 , ω 2 } , {ω 3 , ω 4 } , }
B1 = {ω 1 , ω 2 } B2 = {ω 3 , ω 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
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Probability for Finance Conditional expectations and Limit theorems
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
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Probability for Finance Conditional expectations and Limit theorems
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 )
minZ∈L ,B,P ) E (X − Z)2 = minZ∈L ,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.
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Probability for Finance Conditional expectations and Limit theorems
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 ) (ω 1 ) = E (X |B ) (ω2
)
p1 + p2
1
z3 = z4 = (p3 x3 + p4 x4 ) = E (X |B ) (ω 3 ) = E (X |B ) (ω4
)
p3 + p4
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Probability for Finance Conditional expectations and Limit theorems
(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
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Probability for Finance Conditional expectations and Limit theorems
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)
2π Det(X ) 2
Det(X )
X = (X1 , ...., Xn )
m X ; p < n Y1 = (X1 , ...., Xp ) Y2 = (Xp+1 , ...., Xn ) .
X
Σ11 Σ12
X =
Σ21 Σ22
Σii Yi Σij
Yi Yj i, j = 1, 2, i = j.
Y1 Y2 = y2 ∈ Rn−p
E (Y1 |Y2 = y2 ) = E(Y1 ) + Σ12 Σ−1
22 (y2 − E(Y2 ))
Y |Y =y = Σ11 − Σ12 Σ−1
22 Σ21
105
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Probability for Finance Conditional expectations and Limit theorems
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
X |X =x = σ 21 (1 − ρ212 )
x′ = (x1 , x2 ))
−1
√1 exp − 12 (x − m)′ X (x − m)
fX (x1 , x2 ) (2π) |Det(X )|
fX |X (x1 |x2 ) = = 2
fX (x2 ) 1 1 x −m
√ exp −
σ 2π 2 σ
−1
σ2 exp − 12 (x − m)′ X (x − m)
= √ 2 2 2
2π σ 1 σ 2 − σ 212 exp − 2 1 x −m
σ
2
σ2 1 −1 x2 − m2
= √ 2 2 exp − (x − m)′ X (x − m) −
2
2π σ 1 σ 2 − σ 12 2 σ 2
−1 1 σ 22 −σ 12
X = 2 2
σ 1 σ 2 − σ 212 −σ 12 σ 21
−1
A = (x − m)′ X (x − m),
σ 22 x21 − 2σ 22 x1 m1 − 2x1 σ 12 x2 + 2x1 σ 12 m2
A = +
σ 21 σ 22 − σ 212
σ 22 m21 + 2m1 σ 12 x2 − 2m1 σ 12 m2 + σ 21 x22 − 2σ 21 x2 m2 + σ 21 m22
σ 21 σ 22 − σ 212
2
fX (x1 , x2 ) σ2 1 (−σ 22 x1 + σ 22 m1 + σ 12 x2 − σ 12 m2 )
=√ 2 2 exp −
fX (x2 ) 2π (σ 1 σ 2 − σ 212 ) 2 σ 22 (σ 21 σ 22 − σ 212 )
106
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Probability
for Finance Conditional
expectations and Limit theorems
σ 12
E (X1 |X2 = x2 ) = m1 + (x2 − m2 )
σ 22
2 σ 212
X |X =x = σ1 − 2
σ2
g
2
σ
1 1 x 1 − m1 − σ
(x2 − m2 )
g(x1 ) = exp −
√ 2 2 σ
σ
σ 2 − 2π σ 1 − σ
1 σ
2
σ2 1 (−σ 22 x1 + σ 22 m1 + σ 12 x2 − σ 12 m2 )
= √ 2 2 exp −
2π (σ 1 σ 2 − σ 212 ) 2 σ 22 (σ 21 σ 22 − σ 212 )
g(x1 ) = fX |X (x1 |x2 ).
X |X =x = σ 21 (1 − ρ212 ) X2 = x2
X1
X1
ρ12
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107
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Probability for Finance Conditional expectations and Limit theorems
β
L1 L2 .
(Xn , n ∈ N) X
(, A, P ) ;
P
(Xn , n ∈ N) X Xn → X
ε > 0
lim P (|Xn − X| > ε) = 0
n→+∞
108
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Probability for Finance Conditional expectations and Limit theorems
a.s
(Xn , n ∈ N) X Xn → X
0 ⊂ P (0 ) = 1
∀ω ∈ 0 , lim Xn (ω) = X(ω)
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
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Probability for Finance Conditional expectations and Limit theorems
X ∈ L2 (, A, P ) E(X) = m V (X) = σ 2 ;
B > 0
σ2
P (|X − | ≥ B) ≤ 2
B
1
P (|X − | ≥ Aσ) ≤
A2
A X
1
P (X − −Aσ) ≤
2A2
1
A = 2×0.01 = 7.0711.
A = 2.32,
110
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Probability for Finance Conditional expectations and Limit theorems
(Xn , n ∈ N)
σ),
Zn = n ni=1 Xi (Zn , n ∈ N)
1
ε > 0
σ2
P (|Zn − | ≥ ε) ≤
nε2
(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 ) + β ik Fk + εi
k=1
111
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Probability for Finance Conditional expectations and Limit theorems
ri i, F1 , ..., FK
β ik i
k εi
i. Cov(Fk , Fj ) = 0
j = k) Cov(Fk , εi ) = 0).
Cov(εi , εm ) = 0 i = m).
N
N N N K N
1 1 1 1
ri = E(ri ) + β ik Fk + εi
N i=1 N i=1 N i=1 k=1 N i=1
N K
N
N
1 1 1
= E(ri ) + β Fk + εi
N i=1 k=1
N i=1 ik N i=1
N
1
N εi
i=1
(Xn , n ∈ N)
p; Tn
n
Xi − np
Tn = i=1
np(1 − p)
p
112
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Probability for Finance Conditional expectations and Limit theorems
n u d
up
Y = Y1n , ..., Yk(n)
n
, n ≥ 1
k(n) n
n, sn = V
2
i=1 Yi . Y
ε > 0, U = U1n , ..., Uk(n)
n
,n ≥ 1
Uin = Yin |Yin | ≤ εsn
= 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 ) → σ 2 = 0 Zn
Z
u d
u d
113
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Probability for Finance Bibliography
◦
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Probability for Finance Bibliography
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