Baruch MFE I have a question for Baruch MFE program students,

[roni]

I'm an undergrad student at Baruch college (hope to be a MFE student in the future) and I'm looking for any cuny school which is offering stochastic processes over the spring semester. However, no school is offering this class.

So, I was going over the math classes offered at Baruch over spring semester and I found this class under the "Graduate" section:

Stochastic Finance

I know that undergrad students can take graduate school classes (am not sure if we can take this class)
But my question is this,
what are the requirements for this class ? and is this class and "stochastic processes" the same class ? or perhaps "stochastic processes" is a prerequisite for this class?

Thanks,

Roni.

 

[joel_b]

What level of Calculus are you at? You need to meet the prerequisites regardless. CCNY has Math 38200 - Continuous Time Models in Financial Mathematics and it's offered in the spring, but you need to do Math 38100 first and that Prerequisite is a Calculus II. Plus, related approvals. If you want Math related classes, look at the science/engineering based schools.

 

[roni]

What level of Calculus are you at? You need to meet the prerequisites regardless. CCNY has Math 38200 - Continuous Time Models in Financial Mathematics and it's offered in the spring, but you need to do Math 38100 first and that Prerequisite is a Calculus II. Plus, related approvals. If you want Math related classes, look at the science/engineering based schools.

I was actually aware of this class, but as you said, I have to take MATH 38100 before 38200 and I don't know if I'll get the departmental permission to take this class (Do you know what the requirements to get the permission are?)
However, I have the other prereq, am taking calc 3, probability now and will taking 3 more advanced math classes next semester.

Also,
Baruch college is offering a similar class( but it covers fewer topics, because it combined 38100 and 38200 into one class)

"Introductory Financial Mathematics"

"This course is an introduction to the mathematical methods used in finance and their practical applications. The course begins with a review of discrete and continuous probability, including brownian motion. The finite difference methods, Monte Carlo simulation, Newton's method, and the least squares problem will be studied. These methods will be applied to solve the Black-Scholes equation, price American options, price exotic options, and find the zero curve. Other topics include forwards and futures, arbitrage pricing theory, bonds and swaps, bootstrapping, European and American options, put-call parity, binomial trees for options pricing, and exotic options."

to be honest, CCNY's 38200 and 38100 look more impressive. So, don't know what to do.

Will they let me take 38200 now and 38100 in fall ? lol

Thanks.

 

[joel_b]

Really depends on what your goal is, and more specifically time frame. CCNY 2 course series I agree would be more rigourous, but there is no point if you are intending to begin an MFE in Falll 2010 (I assume that is your goal otherwise you would take the CCNY courses in sequence properly).

If you look at the TIPPS details for equivalency, (which isn't a great gauge for 'real' equivalency if you talk to dept chairs at most colleges from what I have learned in consultations), 381 and 382 are both marked as equal to credit for 4500 at Baruch. i.e. the 2 course series bears enough overlap with the genralized 4500 for credit of either.

I won't be taking 381 until Fall of Next year, myself as it's not offered in the Summer. You can contact CCNY's math dept and drop in for a consultation I'm sure if you really want to know if there is a possibility you could go straight into 382. But if you just want the credit, you could go for 4500 and do extra work or research to expand your base if you think it's necessary.

Again depends on if the goal is knowledge, time, pre-requisite..or other.

 

[Eugene Krel]

Students not in the Baruch MFE are not allowed to enroll in the Stochastic Finance course, which has a graduate probability course pre-req regardless.

I would suggest you take 4500, which has been moving towards becoming an intro class for FE, when I took it the class didn't feature as many topics. It is also a great opportunity to show your abilities to professors that teach in the Baruch MFE program.

 

[roni]

Really depends on what your goal is, and more specifically time frame. CCNY 2 course series I agree would be more rigourous, but there is no point if you are intending to begin an MFE in Falll 2010 (I assume that is your goal otherwise you would take the CCNY courses in sequence properly).

If you look at the TIPPS details for equivalency, (which isn't a great gauge for 'real' equivalency if you talk to dept chairs at most colleges from what I have learned in consultations), 381 and 382 are both marked as equal to credit for 4500 at Baruch. i.e. the 2 course series bears enough overlap with the genralized 4500 for credit of either.

I won't be taking 381 until Fall of Next year, myself as it's not offered in the Summer. You can contact CCNY's math dept and drop in for a consultation I'm sure if you really want to know if there is a possibility you could go straight into 382. But if you just want the credit, you could go for 4500 and do extra work or research to expand your base if you think it's necessary.

Again depends on if the goal is knowledge, time, pre-requisite..or other.

Hey,
I spoke with the professor who is teaching 381 and 382, and she said that I have the necessary background to take 382 without taking 381. So, I don't know if I should take 382 :\
I really want to study "difference methods" and "Monte Carlo simulations".

On the other hand, if I take MTH 4500 at Baruch college, I'll go over these two topics but I'll study all this option pricing methods (which I already know because I am a finance major) . And, 4500 doesn't cover lots of the materials that are covered in 382, for example,

"stochastic differential equations; Ito's calculus and Ito's lemma; stopping times; the heat equation; numerical solution of parabolic partial differential equations; interest rate models"

So, I don't know which one will benefit me most :\

And, I am actually applying for the fall 2011 class,but I won't be able to take them in fall 2010 and spring 2011 because I am graduating in the summer and will probably have a job after that and these classes are offered during the day :\

Thanks.

---------- Post added at 12:57 AM ---------- Previous post was at 12:54 AM ----------

Students not in the Baruch MFE are not allowed to enroll in the Stochastic Finance course, which has a graduate probability course pre-req regardless.

I would suggest you take 4500, which has been moving towards becoming an intro class for FE, when I took it the class didn't feature as many topics. It is also a great opportunity to show your abilities to professors that teach in the Baruch MFE program.

Hey,

I registered for 4500 but I can also take 382 at CCNY. I just don't know which one will benefit me most.

Here is the description of both classes:

MTH 4500:

"This course is an introduction to the mathematical methods used in finance and their practical applications. The course begins with a review of discrete and continuous probability, including brownian motion. The finite difference methods, Monte Carlo simulation, Newton's method, and the least squares problem will be studied. These methods will be applied to solve the Black-Scholes equation, price Americann options, price exotic options, and find the zero curve. Other topics include forwards and futures, arbitrage pricing theory, bonds and swaps, bootstrapping, European and American options, put-call parity, binomial trees for options pricing, and exotic options."

MATH 38200:

"Review of discrete time models and binomial trees. Cox, Ross, Rubinstein approach to the Black-Scholes model; Black-Scholes equation and option pricing formulae; Brownian motion and stochastic differential equations; Ito's calculus and Ito's lemma; stopping times; the heat equation; option pricing and the heat equation; numerical solution of parabolic partial differential equations; interest rate models; simulation and financial models."

 

[e.kosygina]

I'm looking for any cuny school which is offering stochastic processes over the spring semester. However, no school is offering this class.

Hunter College is offering Stochastic Processes in the Spring 2010 (STAT 312). I know 2 Baruch students who are going to take it.

So, I was going over the math classes offered at Baruch over spring semester and I found this class under the "Graduate" section:

Stochastic Finance

I know that undergrad students can take graduate school classes (am not sure if we can take this class). But my question is this,
what are the requirements for this class ? and is this class and "stochastic processes" the same class ? or perhaps "stochastic processes" is a prerequisite for this class?

As Eugene said, you can not take this class: it has MTH 9831 (Real Analysis and Probability) as a prerequisite. But it is good to take undergraduate probability and stochastic processes classes before you enroll in an MFE program. The latter is not required but is a definite plus.

Somewhere you mentioned that you would like to learn Monte-Carlo simulations. This Spring Baruch offers such class, MTH 4135.

 

[roni]

Hello,

"Stochastic Processes" at Hunter ? How?
I tried to apply for the ePermit to take this class, but since it's not transferable to Baruch college, I can't take it.
I'll try to see if I can take the class as a non-degree student.

regarding the Monte Carlo class, I do want to get some background on Monte-Carlo, but I don't think I want to take a whole class, or should I? is it really going to be beneficial ?

Thanks,
Roni.

 

[e.kosygina]

I think that the students I mentioned above obtained a permission from our chair, Prof. Gordon. Actuarial science majors need that class, and we do not offer it this year.
Ours (MTH 4125) is a 4-hour course, at Hunter it is a 3-hour course. I saw a syllabus. They were going to use Sheldon Ross's book Introduction to Probability Models, which I also used when I taught MTH 4125.

As to Monte-Carlo, it is a very good class, but there are only so many classes you can take in one semester.
Just see what works for you.