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AMS 603 Laboratory in Computational Methods for Quantitative Finance

Students will work on projects in quantitative finance. Knowledge of financial models and computational methods required. Projects offered will span a wide range of topics, including risk management, intraday and high frequency trading, buy and sell side optimization, multiple asset classes including fixed income and options, and portfolio optimization. Professional standards for software development will be followed. Some projects may involve access to third party intellectual property, for which a nondisclosure agreement may be required.

1-3 credits;  ABCDF grading

 

Textbooks:

Required:

"The Mathematics of Financial Derivatives, A Student Introduction" by Paul Wilmott, Sam Howison and Jeff Dewynne; 1st edition, published by Cambridge University Press, 1995, ISBN:  978-0521497893

 

Recommended for Supplementary Reading:

"Dynamic Asset Pricing Theory" by Darrell Duffie; 3rd edition; published by Princeton University Press; 2001, ISBN: 978-0691090221

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