- Schedule of Classes - February 6, 2017 7:14PM EST
- Course Catalog - February 6, 2017 7:15PM EST
Course information provided by the Courses of Study 2016-2017.
This course covers numerical techniques for quantitative trading in Finance. The main computational tool is Python. The computational techniques draw from interpolation, linear algebra, optimization, stochastic control, Monte Carlo simulation, queuing theory, finite difference methods, binomial trees, as well as statistical techniques such as regression, co-integration and principal components analysis. The applications include pricing, market microstructure, hedging and asset allocation for bonds, futures, equities and options. The focus is on theories that can be implemented in trading situations and the Interactive Brokers platform is used extensively for trading assignments.
When Offered Fall.
Permission Note Enrollment limited to: financial engineering M.Eng. students in Manhattan.
Credits and Grading Basis
3 Credits Graded(Letter grades only)
Class Number & Section Details
- MWEngineering in NYC
Taught in NYC. Enrollment limited to: M Eng financial engineers in Manhattan, NY.
Disabled for this roster.