Applications Programming for Financial Engineering - IEOR 4500x

Fall 2014

MW 4:10 - 5:25  

 

 

  • Teaching assistants: To be announced
  • Highly recommended textbook:   The C Programming Language, by Kernighan and Ritchie.   Prentice-Hall.  
    • Further reading materials to be provided during the course.
  • Instructor's permission is required to attend the course

Course Outline

The purpose of this course is to develop the ability to generate effective computer implementations of Operations Research methodologies in the context of  Financial Engineering, with some emphasis placed on Optimization tools.  The course will follow three parallel tracks, corresponding to the three different skill sets that we want to develop and exercise:  computational tools, OR methodologies and FE topics.

The curriculum will be made precise once the actual make-up of the class is determined.  However, we will roughly follow the schedule presented in the following tables:
Computational Tools
Introduction to C, C++ and Python
Developing and working with DLLs
Threads and synchronization
Working with binary files
Developing applications with graphical interfaces using VC++
Using Excel and VBA

Operations Research Methodologies
Dynamic Programming
Linear Programming
Quadratic Programming
Stochastic Programming

Financial Engineering Topics
Mean-variance optimization
Cash flow matching
Value-at-risk
Trading models
Trade execution models




The course is restricted to OR/FE students. Students are expected to have some programming experience-- please consult the instructor.


Organization
The course will be centered on a series of projects. These will account for 1/3 of the grade. There will also be a final, more substantial project, which will acount for 1/3 of the grade also. Class participation accounts for the remaining 1/3. This split is a rough guideline and adjustments will be made based on individual cases.

Also note that class attendance is required, and will be taken into account when assigning the final grade.
Lectures
Resources

Homework
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Last revised: August 2014