Cindy L. Yu

Cindy L. Yu

Position
  • Professor
Dr. Yu is a full professor in the Department of Statistics at Iowa State University (ISU). She received her Ph.D. in Statistics from Cornell University in 2005 before coming to ISU. Dr. Yu’s researches include financial statistics, missing data analyses, survey statistics and causal inference. She is also affiliated with the Center for Survey Statistics and Methodology (CSSM) at ISU and is part of a team of ISU statisticians and survey professionals to develop and implement statistical methods for several national surveys related to natural resources.

Contact Info

2216 Snedecor
2438 Osborn Dr.
Ames
,
IA
50011-1090
Email
Phone
515-294-6885

Education

  • Ph.D., Statistics, Cornell University, 2005

Affiliations

More Information

STAT 690A: Math Finance - Continuous Time Asset Pricing Models

Professor Cindy Yu

Course Description

This is a 3 credit course. This course provides an introduction to continuous-time finance for graduate students who are interested in learning classical math finance, and major in Statistics, Economics, Mathematics, or Business Finance. My goals are (i) to help students develop necessary mathematical tools to understand continuous-time finance models; (ii) to review some major results of continuous-time finance; (iii) to introduce students to some active research areas in financial statistics, including machine learning and Bayesian analyses. The topics that are planned to be covered include: (more details are given in the second page)

  • Chapter 1: Review of Stochastic Calculus
  • Chapter 2: Black-Scholes option pricing model
  • Chapter 3: Option Pricing with Stochastic Volatility and Jumps
  • Chapter 4: Term Structure of Interest Rates
  • Chapter 5: Dynamic Term Structure Models and Heath-Jarrow-Morton
  • Chapter 6: Credit Risk Modeling: The Structural Approach
  • Chapter 7: Financial Modeling Using Levy Processes
  • Chapter 8: Machine Learning and Markov Chain Monte Carlo Methods for Asset  Pricing

Prerequisites

Stat 641, or Stat 642, or a stochastic process course (like Stat 554). Students with equivalent background should request permission of the instructor.

Course Materials

I will draw materials from different books and articles in my lectures. Therefore, there is no single textbook that is required for this course. Studying original academic articles is an integral part of Ph.D. education. I will recommend some important articles for each major topic covered in the course to read in the reference list. The following books are classical math finance books, and are recommended for this course.

• Duffie, Darrell, 2001, Dynamic Asset Pricing Theory, Princeton University Press.

• Shreve, Steven, 2004, Stochastic Calculus for Finance II, Springer.

• Ingersoll, Jonathan, 1987, Theory of Financial Decision Making, Rowman and Littlefield.

Grading

Your grade of the course will be based on 5-6 homework assignments (80%) and a final course presentation (20%) of important articles in the area.