Icef-scalc-2022-fall: различия между версиями
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Bdemeshev (обсуждение | вклад) Новая страница: « [https://raw.githubusercontent.com/bdemeshev/sc401/master/matek2_collect/matek2_collection.pdf Past exams collection]» |
Bdemeshev (обсуждение | вклад) Нет описания правки |
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| (не показано 6 промежуточных версий этого же участника) | |||
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[https://raw.githubusercontent.com/bdemeshev/sc401/master/matek2_collect/matek2_collection.pdf Past exams collection] | |||
[https://t.me/+2KbmI_35sQQ5OGZi telegram QA and announcements] | |||
[https://zoom.us/j/8126338383 zoom meetings link] | |||
[https://disk.yandex.ru/d/93M_J0sW1LxPpQ zoom recordings] | |||
[https://github.com/bdemeshev/icef_stocalc_2022_fall/tree/main/lecture_notes all handwritten notes] | |||
[https://github.com/bdemeshev/icef_stocalc_2022_fall/raw/main/ha/ha.pdf Home assignments] | |||
Week 1. Sigma algebras, conditional expected value | |||
Week 2. Conditional variance, geometric viewpoint, 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. | |||
Текущая версия от 20:54, 8 января 2023
Week 1. Sigma algebras, conditional expected value
Week 2. Conditional variance, geometric viewpoint, 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.