Icef-scalc-2024-fall — различия между версиями
Bdemeshev (обсуждение | вклад) |
Bdemeshev (обсуждение | вклад) |
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[https://t.me/+HO407eZ1FR1mMmIy telegram QA and announcements] | [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] | [https://e.pcloud.link/publink/show?code=kZbnLxZRbpecJJEllyOBF5MteH5GpEAme07 video recordings] | ||
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:
