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NOTE: Course information changes frequently, including Methods of Instruction. Please revisit these pages periodically for the most recent and up-to-date course information. | |
Spring 2022 Industrial Engineering and Operations Research E4732 section 001 COMPUT METHODS IN FINANCE | |
| Call Number | 13648 |
| Day & Time Location |
T 7:10pm-9:40pm 303 Uris Hall |
| Points | 3 |
| Grading Mode | Standard |
| Approvals Required | None |
| Instructor | Alireza Javaheri |
| Type | LECTURE |
| Method of Instruction | In-Person |
| Course Description | MS IEOR students only. Application of various computational methods/techniques in quantitative/computational finance. Transform techniques: fast Fourier transform for data de-noising and pricing, finite difference methods for partial differential equations (PDE), partial integro-differential equations (PIDE), Monte-Carlo simulation techniques in finance, and calibration techniques, filtering and parameter estimation techniques. Computational platform will be C++/Java/Python/Matlab/R. |
| Web Site | Vergil |
| Department | Industrial Engineering and Operations Research |
| Enrollment | 26 students (60 max) as of 8:03AM Saturday, June 25, 2022 |
| Subject | Industrial Engineering and Operations Research |
| Number | E4732 |
| Section | 001 |
| Division | School of Engineering and Applied Science: Graduate |
| Campus | Morningside |
| Section key | 20221IEOR4732E001 |
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