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.LecturesResourcesHomework