Icef-scalc-2022-fall — различия между версиями
Материал из Wiki - Факультет компьютерных наук
Bdemeshev (обсуждение | вклад) |
Bdemeshev (обсуждение | вклад) |
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| (не показаны 3 промежуточные версии этого же участника) | |||
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[https://t.me/+2KbmI_35sQQ5OGZi telegram QA and announcements] | [https://t.me/+2KbmI_35sQQ5OGZi telegram QA and announcements] | ||
| − | [https://zoom.us/j/8126338383 zoom meetings] | + | [https://zoom.us/j/8126338383 zoom meetings link] |
| − | + | [https://disk.yandex.ru/d/93M_J0sW1LxPpQ zoom recordings] | |
| − | [https://github.com/bdemeshev/icef_stocalc_2022_fall/ | + | [https://github.com/bdemeshev/icef_stocalc_2022_fall/tree/main/lecture_notes all handwritten notes] |
| − | https:// | + | [https://github.com/bdemeshev/icef_stocalc_2022_fall/raw/main/ha/ha.pdf Home assignments] |
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| + | Week 1. Sigma algebras, conditional expected value | ||
Week 2. Conditional variance, geometric viewpoint, martingales, stopping times | Week 2. Conditional variance, geometric viewpoint, martingales, stopping times | ||
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Week 3. Doob's theorem, ABRACADABRA, Wiener process | 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.
