The Practice of Quantitative and Computational Finance

Department: 
MATH
Course Number: 
6785
Hours - Lecture: 
3
Hours - Lab: 
0
Hours - Recitation: 
0
Hours - Total Credit: 
3
Typical Scheduling: 
Every fall semester

Case studies, visiting lecturers from financial institutions, student group projects of an advanced nature, and student reports, all centered around quantitative and computational finance. Crosslisted with ISYE and MGT 6785.

Prerequisites: 

MS QCF major or consent of the instructor

Course Text: 

No text

Topic Outline: 

The group projects deal with applicable problems in areas such as portfolio management and optimization, pricing of derivatives, and data analysis and testing of models. The groups will be required to formulate and analyze the project problem, and implement and present their solutions to the problems.