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NOTE: Course information changes frequently. Please re-visit these pages periodically for the most recent and up-to-date information. | |
Spring 2013 Statistics W4635 section 001 STOCHASTIC PROCESSES FOR FIN | |
| Call Number | 25541 |
| Day & Time Location |
TR 6:10pm-7:25pm 703 Hamilton Hall |
| Points | 3 |
| Approvals Required | None |
| Instructor | Michael Hogan |
| Type | LECTURE |
| Course Description | 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. |
| Web Site | CourseWorks |
| Department | Statistics |
| Enrollment | 11 students (75 max) as of 12:21AM Saturday, May 18, 2013 |
| Final Exam Day/Time | May 14 T 7:10pm-10:00pm |
| Final Location | 703 Hamilton Hall |
| Subject | Statistics |
| Number | W4635 |
| Section | 001 |
| Division | Interfaculty |
| Open To | Columbia College, Engineering and Applied Science, General Studies, School of Continuing Education, Graduate School of Arts and Science, School of the Arts, International and Public Affairs, Barnard, Engineering and Applied Science: Graduate |
| Campus | Morningside |
| Section key | 20131STAT4635W001 |
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