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, 3

Passtime

None

Level Limit

Letters and science

College
LUDKOVSKI M
Michael Ludkovski
3.3
16 reviews
ILP 4101
T
16:00 PM - 16:50 PM
6 / 5 Full

ILP 3314
T
15:00 PM - 15:50 PM
6 / 5 Full

Spring 2024 . Pedersen H W
ELLSN2626
M W
12:30 PM - 13:45 PM
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PSTAT 276 Ludkovski M Spring 2021 Total: 13
PSTAT 276 Ludkovski M Spring 2019 Total: 21
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16
3.3
PSTAT170 . Ludkovski M A Year Ago

One of the best professors in the stats department. His understanding to financial math materials are unparalleled. Hard exmas and hard homeworks, but office hours are extremely helpful. You are actually going to learn practical stuff from Professor Ludkovski. Strongly recommended.

0 helpful 0 unhelpful
PSTAT160A . Ludkovski M 1 Year, 6 Months Ago

Ludkovski is a tough grader. I had a very hard time getting over a 80% own any homework even though my answers were correct, he was expecting more thorough explanations. This is basically the bad part. The good part is his lectures are awesome, he teaches the material very well, and you'll learn a lot. He's my favorite professor at UCSB.

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PSTAT160A . Ludkovski M 1 Year, 7 Months Ago

Taken off huge amount of points off due to "incomplete verbal explanation" for pure mathematical formulas in HWs. Not sure why he do that in a stats class but I will not take his class ever again.

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PSTAT170 . Ludkovski M 1 Year, 11 Months Ago

Very clear and straightforward professor who lectures well. The material he teaches is hard so his classes are difficult but he makes it as comprehendible as possible. 2nd time taking him, would take again as his exams are very much exactly what he teaches. Go to lectures and put in the work and you'll for sure get the A

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PSTAT160A . Ludkovski M 3 Years Ago

Professor Ludkovski isn't a bad professor. Heavier workload than other classes --written homework and Python homework are due every week. I enjoyed his teaching style and he made participation count which really boosted my grade. He wants you to fully explain your work on the exams. This class was tough but interesting.

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PSTAT160A . Ludkovski M 3 Years Ago

The exams and interview are about if you really understand the material and are able explain your approach to questions. Be ready to spend extra time to learn and not rely on him being nice. His posted optional textbook chapters and internet materials in addition to lectures. Everyone in this class was working hard.

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See all 16 reviews
PSTAT 231
26 / 25 Full
Introduction to Statistical Machine Learning
Katie Coburn 3.3
T R
12:30 PM - 13:45 PM
77.5% A
PSTAT 232
30 / 30 Full
Computational Techniques in Statistics
Guo Yu 2.9
M W
11:00 AM - 12:15 PM
87.8% A
PSTAT 234
15 / 20 Enrolled
Statistical Data Science
Laura Baracaldo 1.8
T R
12:30 PM - 13:45 PM
85.1% A
PSTAT 235
25 / 25 Full
Big Data Analytics
Sang-Yun Oh 2.3
T R
15:30 PM - 16:45 PM
83.8% A
PSTAT 263
9 / 95 Enrolled
Research Seminars in Probability and Statistics
Guo Yu 2.9 Gareth Peters 3.6
M W
15:30 PM - 16:45 PM
PSTATW 274
12 / 20 Enrolled
Time Series
Feldman R
70.6% A