stochastic calculus

[AlexandreH]

Some programs recommend/require a stochastic calculus course prior to joining the Masters program.
My options are limited: either take it online for credit or attend it in class as auditor?
I can probably convince the professor to take the exams and maybe take a letter/recommendation from him, but I will not get official credit from the university.
What do you think is better?

 

[Andy Nguyen]

List the online options, post their syllabus as well as the in class syllabus and we can help you pick the better one.

 

[AlexandreH]

Can anyone recommend online courses in Stoc. Calc?
I will do my own search, but I was hoping someone already took an online course in that and has a view on it?

 

[AlexandreH]

No luck in online courses for Spring 2011. Either I missed the deadline or the course is not offered.
While I missed the deadline for Columbia's CVN, I can pay an extra $100 late registration until Jan 31.
Course description: Introduction to stochastic processes/modeling with an emphasis on those topics relevent to Financial Engineering applications.

Discrete-time Markov chains; Gambler's ruin problem, Binomial Lattice Model for stock and derivative pricing.
- Exponential distribution and the Poisson process.
- Other Point processes; Renewal processes, Renewal reward theorem.
- Continuous-time Markov chains.
- Introduction to martingales.
- Introduction to Brownian motion, geometric Brownian motion.
- Black-Scholes option pricing formula.
- Introduction to stochastic simulation; Monte Carlo simulation for pricing options.

for the audit (in class) course, it is at the American University of Beirut (AUB), engineering school, probably the best engineering school in the Middle-East (Israel excluded). It is the Masters of Engineering Management program with Financial Engineering focus.
Course description:

ENMG 623 Stochastic Models and Applications

Course Background and Objectives
The course provides a rigorous introduction to probability theory and a study of the most important random processes in some depth. There are two main aims: 1) to provide a thorough account of basic probability, giving the student a natural feel for the subject, 2) to discuss important random processes in depth with applications relevant to engineering management in general and financial engineering in particular.

Course Outline
• Events and probabilities; Random variables and distribution; Generating functions and applications
• Poisson process
• Renewals
• Queues
• reliability theory
• Markov chains
• Brownian motion
• Martingales
• Diffusion processes
• stochastic order relations

Textbook
Geoffrey Grimmett and David Stirzaker, Probability and Random Processes (3rd ed), Oxford University Press, 2001

Also, the CVN course will cost me over $4500 more!!!!