In this video, we will look at Moment Generating Functions, Characteristic Functions, Martingales and Gaussian Vectors.

Playlist of the course:    • Stochastic Calculus for Quantitative ...  

Reference:
Éléments de calcul stochastique pour l’évaluation et la couverture des actifs dérivés by Imen Ben Tahar, José Trashorras, and Gabriel Turinici.
Stochastic Calculus for Finance II: ContinuousTime Models by Steven Shreve
Brownian Motion, Martingales, and Stochastic Calculus by JeanFrançois Le Gall