Icef-scalc-2024-fall — различия между версиями

Версия 22:50, 7 ноября 2024

[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.

Sources of wisdom:

Brzezniak, Zastawniak, Basic Stochastic Processes

Steven Shreve, Stochastic Calculus for Finance: volume II and volume I

Michael Steele, Stochastic Calculus with Financial Applications

Past courses:

@@ Строка 24: / Строка 24: @@
 Week 7. QA.
+Sources of wisdom:
+Brzezniak, Zastawniak, Basic [https://ia803404.us.archive.org/17/items/0264-pdf-basic-stochastic-processes-a-course-through-exercises-z.-brzezniak-t.-z/0264%20pdf%20Basic%20Stochastic%20Processes%20-%20A%20Course%20Through%20Exercises%20-%20Z.%20Brzezniak%2C%20T.%20Zastawniak%20%28Springer%2C%202002%29%20WW.pdf Stochastic Processes]
+Steven Shreve, Stochastic Calculus for Finance: [https://files.owenoertell.com/textbooks/finance/stochCal2-shreve.pdf volume II] and [https://files.owenoertell.com/textbooks/finance/stochCal1-shreve.pdf volume I]
+Michael Steele, [https://ia801209.us.archive.org/22/items/derivatives_books/Stochastic%20Calculus%20_%20Financial%20Applications%20-%20J.%20M.%20Steele.pdf Stochastic Calculus] with Financial Applications