Icef-scalc-2023-fall — различия между версиями
Материал из Wiki - Факультет компьютерных наук
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) |
||
| Строка 3: | Строка 3: | ||
[https://t.me/+Ssn5l0zdJ_tiNmZi telegram QA and announcements] | [https://t.me/+Ssn5l0zdJ_tiNmZi telegram QA and announcements] | ||
| − | + | 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 1. Sigma algebras, conditional expected value. | ||
| Строка 18: | Строка 20: | ||
Week 7. QA. | Week 7. QA. | ||
| + | |||
| + | |||
| + | More sources: | ||
| + | |||
| + | [http://wiki.cs.hse.ru/Icef-scalc-2022-fall Wiki 2022 fall] | ||
Версия 05:59, 9 ноября 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:
