IE 523 - Financial Computing

Summer 2021

Financial ComputingIE523A40622ONL4 -    Ramavarapu S Sreenivas


Official Description

Review of C++ programming: structures, classes, I/O, C++ standard libraries, Recursion. Linear Algebra tools and MILP solvers in C++. Computational aspects of probability, statistics and simulation in C++. Methods: Root-finding, Taylor's Expansion, FFTs, Dynamic Programming, Monte Carlo Methods. Financial computing case studies in C++. Course Information: 4 graduate hours. No professional credit. Prerequisite: CS 225.

Course Description

This course will introduce you to programming and computational concepts in C++ using examples that are relevant to Financial Engineering. Topics covered include Mixed Integer Linear Program (MILP) solvers and Linear Algebra packages within C++; Computational aspects of Option Pricing; Simulation, and Statistical Computing. Prerequisite: CS 225.

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