Tssp-2022-23

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General course info

Grading

Fall grade = 0.3 HAs + 0.7 October Exam

Final grade = 0.2 Fall grade + 0.25 HAs + 0.15 December Midterm + 0.25 Spring Midterm + 0.15 Final Exam

Actual grades: xlsx, html

Teachers and assistants

Lecturer: Peter Lukianchenko

Class teacher: Boris Demeshev, Sveta Popova, Maria Kirillova

Home assignments

Log Book

Semester I

Нажми "развернуть", чтобы просмотреть содержимое - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 🡣


Week 1. 2022-09-03

Lecture. Markov chains, transition matrix, pdf

Class. Transition matrix, first step analysis.

More:

Cambridge course on Markov chains

Week 2. 2022-09-10

Lecture. Markov chains, stationary distribution, modes of convergence, pdf

Class. Stationary distribution, modes of convergence

Week 3. 2022-09-17

Lecture. Markov process, math modelling, pdf

Class. plim, almost sure lim

Week 4. 2022-09-24

Lecture. Conditional expectation, pdf

Class. Conditional expectation, sigma algebra, 4a, 4b

Week 5. 2022-10-01

Lecture. First-step analysis, sigma algebra pdf

Class. Conditional expectation and variance, sigma algebra, 5a, 5b

Week 6. 2022-10-08

Lecture. Basics of stochastic processes pdf

Class: Martingales, filtration, 6a, 6b

Week 7. 2022-10-15

Lecture. Brownian motion (Wiener process), filtration in continuous time pdf

Class: Poisson process, 7a, 7b

Week 8. 2022-10-22

Lecture. Wiener process (additional exercises) video, pdf

Class: Solve midterm tasks

Week 9. 2022-11-05

Lecture. Stochastic integral, Ito formula pdf

Class: Stochastic integral, L2 convergence

Week 10. 2022-11-12

Lecture. Ito's lemma, BS model pdf

Class: Stochastic integral (Wu dWu), L2 convergence

Week 11. 2022-11-19

Lecture. BS solution pdf

Class: Ito's lemma

Week 12. 2022-11-26

Lecture. Binomial tree, risk-neutral probability pdf

Class: BS model, SDE


Semester II

Week 1. 2023-01-14

Lecture. Intro to Time Series, stationarity, ACF, PACF pdf

Class: White noise, stationarity online-A, online-B

Week 2. 2023-01-21

Lecture. ARMA process, more ACF/PACF pdf

Class: ACF, PACF online-A, online-B

Week 3. 2023-01-28

Lecture. ARMA process, more ACF/PACF pdf

Class: recurrence equations and AR(1), Yule-Wolker equations for PACF online-A, online-B

Week 4. 2023-02-04

Lecture. Forecasting with ARMA, ADF pdf

Class. Forecasting with AR, MA(infty) solutions online-A, online-B

Week 5. 2023-02-11

Lecture. Non-Stationary Time Series, Holt-Winter's exponential smoothing pdf

Class. ACF, PACF for ARMA(1,1), AR(2) online-A, online-B

Week 6. 2023-02-18

Lecture. ETS-model pdf

Class. ETS(AAA) online-A, online-B

Week 7. 2023-02-25

Lecture. GARCH pdf

Week 8. 2023-03-04

Lecture. UOL - point, interval estimators pdf

Week 9. 2023-03-11

Lecture. UOL - Fisher info pdf

Class. Fisher info

Week 10. 2023-03-18

Lecture. UOL

Week 11. 2023-03-25

Midterm

Sources

MC + MCMC

  • James Norris, Markov chains (1998, no kernels)

Stochastic Calculus

  • Zastawniak, Basic Stochastic Processes

Time Series

UCM