Icef-scalc-2024-fall — различия между версиями
Bdemeshev (обсуждение | вклад) |
Bdemeshev (обсуждение | вклад) |
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| (не показано 5 промежуточных версии этого же участника) | |||
| Строка 1: | Строка 1: | ||
[https://github.com/bdemeshev/icef_stochastic_exams/raw/main/matek2_collection.pdf Past exams collection] | [https://github.com/bdemeshev/icef_stochastic_exams/raw/main/matek2_collection.pdf Past exams collection] | ||
| − | [ | + | [https://t.me/+HO407eZ1FR1mMmIy telegram QA and announcements] |
| − | [ | + | [https://github.com/bdemeshev/icef_stochastic_2024_2025/raw/main/ha/ha-2024.pdf home assignments] |
| − | [ | + | [https://e.pcloud.link/publink/show?code=kZbnLxZRbpecJJEllyOBF5MteH5GpEAme07 video recordings] |
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| + | [https://github.com/bdemeshev/icef_stochastic_2024_2025/tree/main/course_notes Course notes] courtesy of Sofia Sobina | ||
Lecturer: Boris Demeshev | Lecturer: Boris Demeshev | ||
| − | Schedule: Thursday from 2024-11- | + | Assistant: Ivan Gordeev |
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| + | Grading: | ||
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| + | Final grade = Stochastic calculus home assignment * 0.05 + December Exam * 0.35 + First module grade * 0.6 | ||
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| + | Schedule: Thursday from 2024-11-07, 13:00 Moscow time | ||
Week 1. Sigma algebras, conditional expected value. | Week 1. Sigma algebras, conditional expected value. | ||
| Строка 24: | Строка 33: | ||
Week 7. QA. | Week 7. QA. | ||
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| + | Sources of wisdom: | ||
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| + | 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] | ||
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| + | 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] | ||
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| + | 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 | ||
Текущая версия на 23:36, 20 ноября 2024
Course notes courtesy of Sofia Sobina
Lecturer: Boris Demeshev
Assistant: Ivan Gordeev
Grading:
Final grade = Stochastic calculus home assignment * 0.05 + December Exam * 0.35 + First module grade * 0.6
Schedule: Thursday from 2024-11-07, 13:00 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.
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:
