An introduction to stochastic models in finance with applications to valuation and hedging of derivatives in equity, fixed income, and credit markets, and to portfolio allocation.
4
UnitsOptional
Grading1, 2, 3
PasstimeNone
Level LimitLetters and science
CollegePstat 160b is normally a dense class, but Prof. Fouque made it manageable with the open book format and 72 hour time window for both the midterm and the final. Hw problems are usually straight out of the textbook. The biweekly Python Hw can take a while, so its best to start those early. If you put in a reasonable amount of effort, you can get an A
He prerecorded all his lectures and his handwriting was illegible (no joke). The class material is heavy and he doesn't make it easier. He read straight from the textbook and added extra information that was not needed. You are better skipping lectures and just following the book. Do not take him for any class. He is nice but is not meant to teach.
The rare genius that is also a good teacher. Friendly too. Definitely take a class from him if you can.
One of the best professors in UCSB. I learned so much:)