Stochastic models of financial markets. Risk neutral pricing for derivatives, hedging strategies and management of risk. Multidimensional portfolio theory and introduction to statistical arbitrage. Prerequisite: Math MATH 136 or equivalent. NOTE: Undergraduates require instructor permission to enroll. Undergraduates interested in taking the course should contact the instructor for permission, providing information about relevant background such as other courses taken.
3 units · Letter or Credit/No Credit
Stochastic models of financial markets. Risk neutral pricing for derivatives, hedging strategies and management of risk. Multidimensional portfolio theory and introduction to statistical arbitrage. Prerequisite: Math 136 or equivalent. NOTE: Undergraduates require instructor permission to enroll. Undergraduates interested in taking the course should contact the instructor for permission, providing information about relevant background such as other courses taken.
Offered in Winter 2026 at Stanford University.