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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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SIS update 06/25/22 08:03    web update 06/25/22 17:34