Icef-scalc-2022-fall: различия между версиями

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(не показаны 3 промежуточные версии этого же участника)
Строка 3: Строка 3:
[https://t.me/+2KbmI_35sQQ5OGZi telegram QA and announcements]
[https://t.me/+2KbmI_35sQQ5OGZi telegram QA and announcements]


[https://zoom.us/j/8126338383 zoom meetings]
[https://zoom.us/j/8126338383 zoom meetings link]


Week 1. Sigma algebras, conditional expected value
[https://disk.yandex.ru/d/93M_J0sW1LxPpQ zoom recordings]


[https://github.com/bdemeshev/icef_stocalc_2022_fall/raw/main/lecture_notes/week-1_sigma-algebras-conditional-expected-value.pdf notes]
[https://github.com/bdemeshev/icef_stocalc_2022_fall/tree/main/lecture_notes all handwritten notes]


https://zoom.us/rec/share/tRvaLbF2UKSuklQZvZHV8k3YFsFUIUioEF2LWTsaWvbNba1aFbEwd1O0i-x3gaqx.igDQfxV0meVANBmX
[https://github.com/bdemeshev/icef_stocalc_2022_fall/raw/main/ha/ha.pdf Home assignments]
 
Passcode: t@+*99PH


Week 1. Sigma algebras, conditional expected value


Week 2. Conditional variance, geometric viewpoint, martingales, stopping times
Week 2. Conditional variance, geometric viewpoint, martingales, stopping times
[https://github.com/bdemeshev/icef_stocalc_2022_fall/raw/main/lecture_notes/week-2_conditional-variance-geometry-matringales-stopping-times.pdf notes]
https://zoom.us/rec/share/IBabgzlXq0WVSLA0oRBBB7PToPRV70vPRaHM2YczWhREbIFh0BJdWAs84-Y-d_li.5CF4jQ1LVqu9nClJ
Passcode: 43qyC*Fz


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


[https://github.com/bdemeshev/icef_stocalc_2022_fall/raw/main/lecture_notes/week-3_doobs-theorem-abracadabra-wiener-process.pdf notes]
Week 4. Stochastic integral: intuition


https://zoom.us/rec/share/G584qJor79JAqvmEe7RM3KLW0i27FOQ8WOzec6SFl1Ur5hvv_N8WJu-DeavI_6DO.RHRQaNUNpSYNVhep
Week 5. Stochastic integral: properties, Ito's lemma


Passcode: YZ8wpzH#
Week 6. Option pricing: binomial, Black and Scholes model.

Текущая версия от 20:54, 8 января 2023

Past exams collection

telegram QA and announcements

zoom meetings link

zoom recordings

all handwritten notes

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.

Источник — https://wiki.cs.hse.ru/index.php?title=Icef-scalc-2022-fall&oldid=75272