Icef-scalc-2023-fall — различия между версиями
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Bdemeshev (обсуждение | вклад) (Новая страница: «[https://raw.githubusercontent.com/bdemeshev/sc401/master/matek2_collect/matek2_collection.pdf Past exams collection] [https://t.me/+Ssn5l0zdJ_tiNmZi telegram QA…») |
Bdemeshev (обсуждение | вклад) |
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| (не показаны 2 промежуточные версии этого же участника) | |||
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[https://t.me/+Ssn5l0zdJ_tiNmZi telegram QA and announcements] | [https://t.me/+Ssn5l0zdJ_tiNmZi telegram QA and announcements] | ||
| − | [ | + | [https://github.com/bdemeshev/icef_stocalc_2023_fall/raw/main/ha/ha-2023.pdf home assignments] |
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| + | [https://github.com/bdemeshev/icef_stocalc_2023_fall/tree/main/notes hand-written notes] | ||
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| + | Lecturer: Boris Demeshev | ||
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| + | 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 1. Sigma algebras, conditional expected value. | ||
| Строка 18: | Строка 24: | ||
Week 7. QA. | Week 7. QA. | ||
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| + | More sources: | ||
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| + | [http://wiki.cs.hse.ru/Icef-scalc-2022-fall Wiki 2022 fall] | ||
Текущая версия на 04:27, 5 декабря 2023
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:
