Week 7.9: Vasicek model. Application of the Itô formula to stochastic modelling

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Из курса от партнера National Research University Higher School of Economics
Stochastic processes
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National Research University Higher School of Economics
29 оценки
Из урока
Week 7: Stochastic integration & Itô formula
Upon completing this week, the learner will be able to calculate stochastic integrals of various types and apply Itô’s formula for calculation of stochastic integrals as well as for construction of various stochastic models.

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  • Vladimir Panov
    Vladimir Panov
    Assistant Professor
    Faculty of economic sciences, HSE

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