Week 7.10: Vasicek model. Application of the Itô formula to stochastic modelling

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From the course by 国立高等经济大学
Stochastic processes
7 ratings
国立高等经济大学
7 ratings
From the lesson
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.

Meet the Instructors

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

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