Icef-scalc-2023-fall: различия между версиями

Текущая версия от 01:27, 5 декабря 2023

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:

@@ Строка 4: / Строка 4: @@
 [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