- Schedule of Classes - June 29, 2022 7:27PM EDT
- Course Catalog - June 29, 2022 7:14PM EDT
Course information provided by the Courses of Study 2022-2023.
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
- R Engineering in NYC
Instruction Mode: 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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