https://wikicshse.ru/index.php?action=history&feed=atom&title=Icef-scalc-2024-fall 2026-06-06T11:08:53Z История изменений этой страницы в вики MediaWiki 1.45.3 https://wikicshse.ru/index.php?title=Icef-scalc-2024-fall&diff=332&oldid=prev 2024-11-20T20:36:42Z

<p>Migrated current public revision from wiki.cs.hse.ru</p> <p><b>Новая страница</b></p><div>[https://github.com/bdemeshev/icef_stochastic_exams/raw/main/matek2_collection.pdf Past exams collection]<br /> <br /> [https://t.me/+HO407eZ1FR1mMmIy telegram QA and announcements]<br /> <br /> [https://github.com/bdemeshev/icef_stochastic_2024_2025/raw/main/ha/ha-2024.pdf home assignments]<br /> <br /> [https://e.pcloud.link/publink/show?code=kZbnLxZRbpecJJEllyOBF5MteH5GpEAme07 video recordings]<br /> <br /> [https://github.com/bdemeshev/icef_stochastic_2024_2025/tree/main/course_notes Course notes] courtesy of Sofia Sobina<br /> <br /> Lecturer: Boris Demeshev<br /> <br /> Assistant: Ivan Gordeev<br /> <br /> Grading:<br /> <br /> Final grade = Stochastic calculus home assignment * 0.05 + December Exam * 0.35 + First module grade * 0.6 <br /> <br /> <br /> Schedule: Thursday from 2024-11-07, 13:00 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 /> Sources of wisdom:<br /> <br /> 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]<br /> <br /> 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]<br /> <br /> 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<br /> <br /> <br /> Past courses:<br /> <br /> [http://wiki.cs.hse.ru/Icef-scalc-2023-fall Wiki 2023 fall]<br /> <br /> [http://wiki.cs.hse.ru/Icef-scalc-2022-fall Wiki 2022 fall]</div>

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