- Schedule of Classes - June 23, 2021 7:14PM EDT
- Course Catalog - June 23, 2021 7:15PM EDT
Course information provided by the Courses of Study 2020-2021. Courses of Study 2021-2022 is scheduled to publish by July 1.
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 NYC.
Regular Academic Session.
Credits and Grading Basis
2 Credits Graded(Letter grades only)
Class Number & Section Details
- TEngineering in NYC
- Aug 26 - Dec 7, 2021
Instruction Mode: Hybrid-Online and In Person
Taught in NYC. Enrollment limited to MEng Financial Engineering students and Cornell Tech ORIE students. Cornell Tech ORIE students MUST receive permission from Victoria Averbukh (email@example.com) and the instructor.
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