STAT W4635 - Stochastic Processes for Finance

Institution:

Columbia University in the City of New York

Subject:

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.

Credits:

3.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.columbia.edu

Phone Number:

(212) 854-1754

Regional Accreditation:

Middle States Association of Colleges and Schools

Calendar System:

Semester

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