Fall 2015 MW The course
is restricted to OR/FE students.
Students are expected to have some programming experience-- please
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:
C, C++ and Python
working with DLLs
with graphical interfaces using VC++
Operations Research Methodologies
Financial Engineering Topics
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.
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Last revised: August 2014
The course is restricted to OR/FE students. Students are expected to have some programming experience-- please consult the instructor.