Semester.ly

Johns Hopkins University | EN.550.427

Stochastic Processes and Applications to Finance

4.0

credits

Average Course Rating

(4.51)

A development of stochastic processes with substantial emphasis on the processes, concepts, and methods useful in mathematical finance. Relevant concepts from probability theory, particularly conditional probability and conditional expection, will be briefly reviewed. Important concepts in stochastic processes will be introduced in the simpler setting of discrete-time processes, including random walks, Markov chains, and discrete-time martingales, then used to motivate more advanced material. Most of the course will concentrate on continuous-time stochastic processes, particularly martingales, Brownian motion, diffusions, and basic tools of stochastic calculus. Examples will focus on applications in finance, economics, business, and actuarial science. Students may not receive credit for both EN.550.427 and EN.550.426.

Fall 2012

(4.64)

Fall 2013

(4.59)

Fall 2014

(4.29)

Fall 2012

Professor: Dwijavanti Athreya

(4.64)

Students liked that the professor taught the materials in depth. They agreed that it was chal enging, but the professor was willing and available to help. Professor Athreya was organized and reviewed prior content before each meeting. Some students thought the course relied too much on derivations and proofs. The course was theory-heavy and some suggested that it should include more financial applications. The course is demanding and requires a strong background in probability.

Fall 2013

Professor: Stochastic Processes and Applications to Finance

(4.59)

Students felt that the professor’s lectures and the well-planned execution of each lesson were some of the best aspects of this course. They found it easy to follow the course material, and found the topics to be quite interesting. Some of the students felt that the second half of the semester felt more rushed than the first half, which was a bit too slow. Students suggested spending less time on the first few chapters and spending that time instead going more in depth in the later chapters. Students also wanted more applications of the theorem with practical uses and examples. Any prospective students should have an interest in probability and measure theory, and although background knowledge in these two areas are helpful, it is not necessary. Students should be aware that although the materials may seem daunting, the work is quite doable and the professor is always willing to answer questions.

Fall 2014

Professor: Dwijavanti Athreya

(4.29)

Students thought the best aspect of this class was the clarity and helpfulness of the professor. Students believed the worst aspect of the class was the scheduling and difficulty of the homework assignments. Students thought this might be improved by assigning a larger number of smal er assignments. Students thought it was valuable for potential participants to know that experience with real analysis was important for this class. Students also thought it was important to know that the class emphasized teaching about probability with less coverage of finance.