AMS 515, Case Studies in Computational Finance
Actual applications of Quantitative Finance to problems of risk assessment, product
design, portfolio management, and securities pricing will be covered. Particular attention
will be paid to data collection and analysis, the design and implementation of software,
and, most importantly, to differences that occur between theory and practice in model
application, and to the development of practical strategies for handling cases in
which model failure makes the naive use of quantitative techniques dangerous. Extensive
use of guest lecturers drawn from the industry will be made.
Prerequisite:
AMS 512 and
513
3 credits, ABCF grading
IMPORTANT NOTE: AMS 515 is not currently being offered.
Textbook for fall 2016 semester:
"Dynamic Asset Pricing Theory" by Darrell Duffie, 3rd edition, 2001 Princeton University
Press; ISBN: 978-0691090221
(required)
"Binomial Models in Finance" by John van der Hoek and Robert J. Elliott, 2006 Springer Finance; ISBN: 978-0387258980 (recommended)
"Option Pricing in Fractional Brownian Markets" by Stefan Rostek, 2009 Springer; ISBN: 978-3642003301 (recommended)
Textbooks for Spring 2017 semester:
"Linear Algebra in Action "(Graduate Studies in Mathematics, Volume 78)" by Harry Dym; 2nd edition; 2013; American Mathematical Society; ISBN: 9781470409081 (recommended)
"Conformal Mapping" by Zeev Nehari, Dover Publications, 2011; ISBN: 9780486611372 (recommended)
