Icef-scalc-2025-fall
[... home assignments (soon!)]
Course notes: fall 2024 by 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:
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 iterations of the course:
