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Spring 2021 Mathematics GR5260 section 001
PROG FOR QUANT & COMP FINANCE
PROG FOR QUANT & COMP FIN

Call Number 12270
Day & Time
Location
F 8:10pm-10:00pm
ONLINE ONLY
Points 3
Grading Mode Standard
Approvals Required None
Instructor Ka-Yi Ng
Type LECTURE
Method of Instruction On-Line Only
Course Description This course covers programming with applications to finance. The applications may include such topics as yield curve building and calibration, short rate models, Libor market models, Monte Carlo simulation, valuation of financial instruments such as options, swaptions and variance swaps, and risk measurement and management, among others. Students will learn about the underlying theory, learn coding techniques, and get hands-on experience in implementing financial models and systems.
Web Site Vergil
Department Mathematics
Enrollment 34 students (35 max) as of 4:48PM Wednesday, December 8, 2021
Subject Mathematics
Number GR5260
Section 001
Division Graduate School of Arts and Sciences
Campus Morningside
Note MAFN Students ONLY. Open to STATS 1/4. Open to Univ. 1/11
Section key 20211MATH5260G001

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SIS update 12/08/21 16:48    web update 12/08/21 17:21