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STAT GU4262 Stochastic Processes for Finance. 3 points.

CC/GS: Partial Fulfillment of Science Requirement

Prerequisites: STAT GU4203. STAT GU4207 is recommended.

A careful review of the concept of stochastic process as a model of random phenomena evolving through time and of conditional expectation, basic Markov process theory, and the exponential distribution.  Marked point processes and their compensators, beginning with Poisson processes, and proceeding through general marked point processes.  The use of compensators will be justified by the Doob-Meyer decomposition theorem, and as such it will connect the theory to martingales.  Markov processes will enter to provide a description of sufficient conditions for the compensators to have absolutely continuous paths (and as such, have "hazard rates").  Applications to survival analysis and, especially, to mathematical finance, including default and bankruptcy models.  Cox process construction.  This is a core course in the MS program in mathematical finance.

Spring 2018: STAT GU4262
Course Number Section/Call Number Times/Location Instructor Points Enrollment
STAT 4262 001/62864 T Th 2:40pm - 3:55pm
312 Mathematics Building
David Rios 3 30/30

Statistics

http://bulletin.columbia.edu/general-studies/undergraduates/majors-concentrations/statistics/

The Statistics Department Office: 1005 School of Social Work (1255 Amsterdam Avenue); 212-851-2132 http://www.stat.columbia.edu

Statistics

http://bulletin.columbia.edu/barnard-college/courses-instruction/statistics/

...STAT GU4207 Elementary Stochastic Processes before embarking on STAT GU4262 Stochastic Processes for Finance , STAT...

Statistics

http://bulletin.columbia.edu/columbia-college/departments-instruction/statistics/

...STAT GU4207 Elementary Stochastic Processes before embarking on STAT GU4262 Stochastic Processes for Finance , STAT...