This class was tough.
The material is very hard but also helpful if you want a career in financial engineering. The best part of this course is the professor. Professor Lyasoff is always there for your questions, when I say "always" I mean it literally. He holds office hour twice a week and sometimes an extra one on weekends. And if you email him you will get detailed and helpful response.
Compared with other stochastic mathematics courses about financial engineering, this course is much more systematic: it starts with probability theory and builds a solid foundation for applications. Some people may think it to theoretical but I think it necessary, given the condition that financial engineering is a field which required intense quantitative skills.
Hours per week:
Advice for students:
Listen carefully to the lectures, and go to every office hour. You will find his office hour very helpful, sometimes better than his lectures. Besides, pay attention to your homework.