Просмотр кода страницы Icef-scalc-2023-fall

[https://raw.githubusercontent.com/bdemeshev/sc401/master/matek2_collect/matek2_collection.pdf Past exams collection]

[https://t.me/+Ssn5l0zdJ_tiNmZi telegram QA and announcements]

[https://github.com/bdemeshev/icef_stocalc_2023_fall/raw/main/ha/ha-2023.pdf home assignments]

[https://github.com/bdemeshev/icef_stocalc_2023_fall/tree/main/notes hand-written notes]

Lecturer: Boris Demeshev

Schedule: Thursday from 2023-11-09, 13:00-14:20 and 14:40-16:00 Moscow time

Week 1. Sigma algebras, conditional expected value.

Week 2. Conditional variance, martingales, stopping times.

Week 3. Doob's theorem, ABRACADABRA, Wiener process.

Week 4. Stochastic integral: intuition.

Week 5. Stochastic integral: properties, Ito's lemma.

Week 6. Option pricing: binomial, Black and Scholes model.

Week 7. QA.


More sources:

[http://wiki.cs.hse.ru/Icef-scalc-2022-fall Wiki 2022 fall]