ADVANCED MATHEMATICAL FINANCE . PSTAT 276
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
UnitsOptional
Grading1, 2, 3
PasstimeNone
Level LimitLetters and science
College
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Past Enrollment Trends (2)
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Rate My Professors
21
3.0
223C with Ludkovski was a great class. It balanced computational methods and the underlying theory extremely well. While the homeworks were very difficult and strictly graded, I learned immensely from his criticisms. They were great practice at testing both my understanding of the theory and my skill with implementing the methods.
The grading criteria was confusing to me personally.
rubric on the final was super punishing and unfair
Worst prof in this department. DO NOT TAKE ANY COURSES FROM HIM!!!!! Hadn't seen such a tough grading criteria in my life.
honestly the worst teacher I've had in my whole life. grades super hard, his answer keys are wrong half the time and he doesn't respond to emails. genuinely do not take this professor. i hate this guy with a passion
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.
Katie Coburn
3.1
Guo Yu
2.8
Tomoyuki Ichiba
3.8