Icef-scalc-2024-fall — различия между версиями

Версия 15:52, 4 сентября 2024

Past exams collection

[www telegram QA and announcements]

[www home assignments]

[www video recordings]

Lecturer: Boris Demeshev

Schedule: Thursday from 2024-11-xx, xx-xx 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.

Past courses:

Wiki 2023 fall

Wiki 2022 fall