STAT W4635y Stochastic Processes for Finance 3 pts. Prerequisites: STAT W3105, W4105, or equivalent. This course covers theory of stochastic processes applied to finance. It covers concepts of Martingales, Markov chain models, Brownian motion. Stochastic Integration, Ito's formula as a theoretical foundation of processes used in financial modeling. It also introduces basic discrete and continuous time models of asset price evolutions in the context of the following problems in finance: portfolio optimization, option pricing, spot rate interest modeling. CC/GS: Partial Fulfillment of Science Requirement.

Course
Number
Call Number/
Section
Days & Times/
Location
Instructor Enrollment
Spring 2015 :: STAT W4635
STAT
4635
60085
001
MW 6:10p - 7:25p
TBA
H. Zhang 80 / 80 [ More Info ]