Spring 2024 Mathematics GR5260 section 001

PROG FOR QUANT & COMP FINANCE

PROG FOR QUANT & COMP FIN

Call Number 12380
Day & Time
Location
F 6:10pm-8:00pm
417 Mathematics Building
Points 3
Grading Mode Standard
Approvals Required Instructor
Instructor Ka-Yi Ng
Type LECTURE
Method of Instruction In-Person
Course Description This course covers programming with applications to finance. The applications may include such topics as yield curve building and calibration, short rate models, Libor market models, Monte Carlo simulation, valuation of financial instruments such as options, swaptions and variance swaps, and risk measurement and management, among others. Students will learn about the underlying theory, learn coding techniques, and get hands-on experience in implementing financial models and systems.
Web Site Vergil
Department Mathematics
Enrollment 40 students (60 max) as of 3:06PM Sunday, December 8, 2024
Subject Mathematics
Number GR5260
Section 001
Division Graduate School of Arts and Sciences
Open To GSAS
Note Priority to MAFN. Open to STATS 1/8. Open to Univ. 1/15
Section key 20241MATH5260G001