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
Textbooks for Spring 2020 semester:
TBA