Icef-scalc-2023-fall
Материал из Wiki - Факультет компьютерных наук
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.
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