ORF 531 / FIN 531 No Audit
Computational Finance in C++
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
There will be no midterm, and the final grade will be computed as follows: 100% Homework. Assignment will be posted due in a week.
Open to Graduate Students Only.
Prerequisites and Restrictions:
Junior & Senior enrollment by Instructor permission only--must contact instructor PRIOR to signing up.
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