Applications Programming for
Financial Engineering - IEOR 4500y
Spring 2012
MW 2:40 - 3:55, 633 Mudd
- Teaching assistant: Itai Feigenbaum (iif2103)
- Textbooks, all Highly recommended:
- Optimization Methods in Finance, by G. Cornuéjols and
R. Tütüncü, Cambridge University Press.
- 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
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
VC++ |
| 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. A prerequisite to this course
is "Introduction to Financial Engineering" or equivalent.
Ideally, students should 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
Last
revised:
August 2011