Icef-scalc-2023-fall

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Past exams collection

telegram QA and announcements

home assignments

hand-written notes

Lecturer: Boris Demeshev

Schedule: Thursday from 2023-11-09, 13:00-14:20 and 14:40-16:00 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.


More sources:

Wiki 2022 fall