Просмотр кода страницы Icef-scalc-2025-fall

[https://github.com/bdemeshev/icef_stochastic_exams/raw/main/matek2_collection.pdf Past exams collection]

[... home assignments (soon!)]

[https://e.pcloud.link/publink/show?code=kZbnLxZRbpecJJEllyOBF5MteH5GpEAme07 Video recordings: fall 2024]

[https://github.com/bdemeshev/icef_stochastic_2024_2025/tree/main/course_notes Course notes: fall 2024] by Sofia Sobina

Lecturer: Boris Demeshev

Assistant: Ivan Gordeev

Grading:

Final grade = Stochastic calculus home assignment * 0.05 + December Exam * 0.35 + First module grade * 0.6 


Schedule: 

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.

Sources of wisdom:

Brzezniak, Zastawniak, Basic [https://ia803404.us.archive.org/17/items/0264-pdf-basic-stochastic-processes-a-course-through-exercises-z.-brzezniak-t.-z/0264%20pdf%20Basic%20Stochastic%20Processes%20-%20A%20Course%20Through%20Exercises%20-%20Z.%20Brzezniak%2C%20T.%20Zastawniak%20%28Springer%2C%202002%29%20WW.pdf Stochastic Processes]

Steven Shreve, Stochastic Calculus for Finance: [https://files.owenoertell.com/textbooks/finance/stochCal2-shreve.pdf volume II] and [https://files.owenoertell.com/textbooks/finance/stochCal1-shreve.pdf volume I]

Michael Steele, [https://ia801209.us.archive.org/22/items/derivatives_books/Stochastic%20Calculus%20_%20Financial%20Applications%20-%20J.%20M.%20Steele.pdf Stochastic Calculus] with Financial Applications


Past iterations of the course:

[http://wiki.cs.hse.ru/Icef-scalc-2023-fall Wiki 2024 fall]

[http://wiki.cs.hse.ru/Icef-scalc-2023-fall Wiki 2023 fall]

[http://wiki.cs.hse.ru/Icef-scalc-2022-fall Wiki 2022 fall]