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Course Details

Spring 2012-2013
ORF 531 / FIN 531   No Audit

Computational Finance in C++

Matthew J. Lorig

The intent of this course is to introduce the student to the technical and algorithmic aspects of a wide spectrum of computer applications currently used in the financial industry, and to prepare the student for the development of new applications. The student will be introduced to C++, the weekly homework will involve writing C++ code, and the final project will also involve programming in the same environment.

Maciej J. Capinski, Tomasz Zastawniak, Numerical Methods in Finance with C++
Paul Glasserman, Monte Carlo Methods in Financial Engineering

Reading/Writing assignments:
There will be no midterm, and the final grade will be computed as follows: 100% Homework. Assignment will be posted due in a week.

Other Requirements:
Open to Graduate Students Only.

Prerequisites and Restrictions:
Junior & Senior enrollment by Instructor permission only--must contact instructor PRIOR to signing up.

Schedule/Classroom assignment:

Class numberSectionTimeDaysRoomEnrollmentStatus
40439 C01 1:30 pm - 2:50 pm M W   Friend Center   004   Enrolled:24 Limit:40