Advanced topics in asset pricing models, portfolio optimization, interest rate modeling and derivative pricing. Fundamental Theorem of Asset Pricing, Markowitz Mean-Variance Frontier, Capital Asset Pricing Theory, Monte Carlo methods and variance reduction techniques.

Prerequisites: PSTAT 160A-B, PSTAT 170; PSTAT 160B may be taken concurrently. PSTAT 160A and PSTAT 170 must be completed with a B- or higher.

4

Units

Optional

Grading

1, 2

Passtime

None

Level Limit

Letters and science

College
These majors only finms stsds actsc stsap stats
PEDERSEN H W
Hal Pedersen
2.1
18 reviews
ILP 3310
R
14:00 PM - 14:50 PM
20 / 20 Full

Spring 2025 . Ludkovski M
SH 1430
T R
11:00 AM - 12:15 PM
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PSTAT 176 Ichiba T Spring 2024 Total: 15
PSTAT 176 Peters G W Spring 2023 Total: 9
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18
2.1
PSTAT171 . Pedersen H W 6 Months Ago

Like most ucsb math profs the problem is that he's obviously an expert in his field, but he has zero knowledge in actually educating. I didn't even need this class for credit I just wanted to learn smt but it wasn't worth it at all. Don't take if u have an heavy course-load, if you're capable of self learning everything then go ahead.

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PSTAT171 . Pedersen H W 6 Months Ago

Only a few quizzes and tests mattered in this class. Be ready to read the textbook and do the optional problems to prepare. Otherwise, a very straightforward professor with clear criteria.

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PSTAT171 . Pedersen H W 6 Months Ago

Pedersen is a highly intelligent professor. The notation is quite confusing especially if you are unfamiliar with actuarial notation. The tests are extremely hard, but luckily he allows open everything so you can use outside resources to help you do well. I would recommend taking this class with Pedersen if you are interested in the subject matter

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PSTAT171 . Pedersen H W 6 Months Ago

He grades everything at the last minute. We have no homework, and his lectures are useless. He doesn't give us proper examples or apply what we learn; he just "teaches" us the concept and expects us to understand it. I am not even sure how problems are very difficult; he better curve. Not ready for the final.

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PSTAT170 . Pedersen H W 10 Months Ago

Dr.Pedersen is an amazing professor whose lectures focus having all students understand ideas from basic ideas. His explanations on the topic matter is always broadly informed and above all, he cares about the questions of the students. Dr.Pedersen is always readily available, even as he had a rough quarter in other matters he shared about.

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PSTAT172A . Pedersen H W 1 Year, 2 Months Ago

worst professor. unorganized and uncommunicative throughout the quarter. all the exams ended up being online but they were all super difficult. would post everything he said he would late. never released the grades for anything even after grades were due. and he missed the deadline so i didn't know my grade until two weeks after grades were due.

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See all 18 reviews
PSTAT 170
75 / 75 Full
Introduction to Mathematical Finance
Zimu Zhu 3.5
T R
18:30 PM - 19:45 PM
33.3% A
PSTAT 170
73 / 75 Enrolled
Introduction to Mathematical Finance
Tan Ying
M W
11:00 AM - 12:15 PM
33.3% A
PSTAT 171
100 / 100 Full
Mathematics of Fixed Income Markets
Saad Mouti 2.4
T R
11:00 AM - 12:15 PM
29.1% A
PSTAT 172B
25 / 25 Full
Actuarial Statistics II
Hal Pedersen 2.1
T R
09:30 AM - 10:45 AM
21.1% A
PSTAT 174
100 / 100 Full
Time Series
Tomoyuki Ichiba 3.8
T R
12:30 PM - 13:45 PM
50.0% A
PSTAT 175
75 / 75 Full
Survival Analysis
Rituparna Sen 1.4
M W
08:00 AM - 09:15 AM
41.0% A