https://wikicshse.ru/index.php?action=history&feed=atom&title=Icef-scalc-2023-fall 2026-06-06T11:08:53Z История изменений этой страницы в вики MediaWiki 1.45.3 https://wikicshse.ru/index.php?title=Icef-scalc-2023-fall&diff=331&oldid=prev 2023-12-05T01:27:22Z

<p>Migrated current public revision from wiki.cs.hse.ru</p> <p><b>Новая страница</b></p><div>[https://raw.githubusercontent.com/bdemeshev/sc401/master/matek2_collect/matek2_collection.pdf Past exams collection]<br /> <br /> [https://t.me/+Ssn5l0zdJ_tiNmZi telegram QA and announcements]<br /> <br /> [https://github.com/bdemeshev/icef_stocalc_2023_fall/raw/main/ha/ha-2023.pdf home assignments]<br /> <br /> [https://github.com/bdemeshev/icef_stocalc_2023_fall/tree/main/notes hand-written notes]<br /> <br /> Lecturer: Boris Demeshev<br /> <br /> Schedule: Thursday from 2023-11-09, 13:00-14:20 and 14:40-16:00 Moscow time<br /> <br /> Week 1. Sigma algebras, conditional expected value.<br /> <br /> Week 2. Conditional variance, martingales, stopping times.<br /> <br /> Week 3. Doob&#039;s theorem, ABRACADABRA, Wiener process.<br /> <br /> Week 4. Stochastic integral: intuition.<br /> <br /> Week 5. Stochastic integral: properties, Ito&#039;s lemma.<br /> <br /> Week 6. Option pricing: binomial, Black and Scholes model.<br /> <br /> Week 7. QA.<br /> <br /> <br /> More sources:<br /> <br /> [http://wiki.cs.hse.ru/Icef-scalc-2022-fall Wiki 2022 fall]</div>

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