NOTE: Course information changes frequently. Please re-visit these pages periodically for the most recent and up-to-date information.
Spring 2014 Statistics W4635 section 001
STOCHASTIC PROCESSES FOR FIN
|Day & Time
|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.|
|Enrollment||36 students (80 max) as of 11:41PM Friday, March 7, 2014|
|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|
Home About This Directory Online Bulletins ColumbiaWeb