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Spring 2014 Statistics W4635 section 001
STOCHASTIC PROCESSES FOR FIN

Call Number 72234
Day & Time
Location
TR 2:40pm-3:55pm
310 Fayerweather
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 36 students (80 max) as of 7:31PM Sunday, September 21, 2014
Final Exam Day/Time May 15
R 1:10pm-4:00pm
Final Location 310 Fayerweather
Subject Statistics
Number W4635
Section 001
Division Interfaculty
Open To Columbia College, Engineering and Applied Science: Undergraduate, General Studies, School of Continuing Education, Global Programs, Graduate School of Arts and Science, School of the Arts, International and Public Affairs, Barnard, Engineering and Applied Science: Graduate
Campus Morningside
Section key 20141STAT4635W001

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SIS update 09/21/14 19:31    web update 09/22/14 15:02