Stochastic Methods in Finance · Statistics
Stochastic models of European/American call/put options, interest rate models and optimization.
Review of Stochastic Calculus, Risk-Neutral Pricing, Interest Rate Models, American options
All the key knowledge are about ITO and how to price a derivative.
Applications of stochastic models in options/bond pricing and stochastic portfolio theory
pricing European and American options, Interest rate models, SDE, and optimization problems
Advanced topics in stochastic analysis, including but not limited to: complete markets/no-arbitrage pricing, interest rate models, early exercise problems.
One of the worst courses I have ever had
Professor Baker is very kind. Feel free to ask him questions.
Nice instructor but some material might not be very useful for future career.
Absolutely a great course to take. Well-structured contents and reasonable workload. Exams are well designed to reflect lecture contents and homework. You will be fine if you put some effort. Professor Baker is caring about students. He responses to every question patiently, tries to put everything into easy-to-understand term, and uploads notes for reference. 1 Columbia University: Arts & Sciences Spring 2024 Course: STATGR5265_001_2024_1-STOCHASTICMETHODSINFINANCE : STATGR5265_001_2024_1 - STOCHASTIC METHODS IN FINANCE Instructor: Graeme Baker