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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 


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)

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