Icef-scalc-2022-fall — различия между версиями

Текущая версия на 23:54, 8 января 2023

Week 1. Sigma algebras, conditional expected value

Week 2. Conditional variance, geometric viewpoint, 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.

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+[https://raw.githubusercontent.com/bdemeshev/sc401/master/matek2_collect/matek2_collection.pdf Past exams collection]
+[https://t.me/+2KbmI_35sQQ5OGZi telegram QA and announcements]
+[https://zoom.us/j/8126338383 zoom meetings link]
-[https://raw.githubusercontent.com/bdemeshev/sc401/master/matek2_collect/matek2_collection.pdf Past exams collection]
+[https://disk.yandex.ru/d/93M_J0sW1LxPpQ zoom recordings]
-[https://t.me/+2KbmI_35sQQ5OGZi telegram QA and announcements]
+[https://github.com/bdemeshev/icef_stocalc_2022_fall/tree/main/lecture_notes all handwritten notes]
+[https://github.com/bdemeshev/icef_stocalc_2022_fall/raw/main/ha/ha.pdf Home assignments]
+Week 1. Sigma algebras, conditional expected value
+Week 2. Conditional variance, geometric viewpoint, 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.