Icef-scalc-2022-fall — различия между версиями
Материал из Wiki - Факультет компьютерных наук
Bdemeshev (обсуждение | вклад) |
Bdemeshev (обсуждение | вклад) |
||
(не показано 5 промежуточных версии этого же участника) | |||
Строка 1: | Строка 1: | ||
+ | [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:// | + | [https://disk.yandex.ru/d/93M_J0sW1LxPpQ zoom recordings] |
− | [https:// | + | [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. |
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.