Can Undergrads Take 956?

The Short Answer is "Yes, but..."

There are several things to think about.

  1. We will use a big chunk of linear algebra in 956. If you have had a full undergraduate course, that will be enough. On the other hand, if you have just had little pieces here and there as part of a calculus sequence, you are likely to get lost at least some of the time.
  2. The course deals with a lot of algorithms --- so at times there is the feeling of a CS course.
  3. In 956 we scoot over the material of 434 very quickly and with more attention to the mathematical statistics. This is fun if you are interested in proofs and derivations.
  4. Perhaps one-fourth of the topics in 956 will have names that are familiar from 434 (ARIMA, GARCH, etc), but we will look much more deeply at the mathematics of the underlying probability models.
  5. Comfort with the multivariate normal distribution will be expected.
  6. 956 is not nearly as structured as 434. Some of the topics are speculative.
  7. The content of 956 changes substantially from year to year. You can get an idea of the course by looking at last year's web page, but there may be only about 50% overlap with what we do this year.
  8. For the Spring of 2008, we will look more at tools like the Kalman filter than we did in 2007. We will continue to look at lots of different kinds of assets, but not as much so as we did last year.
  9. Naturally, there is also a formal syllabus.

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