IE 523 - Financial Computing

Fall 2021

TitleRubricSectionCRNTypeHoursTimesDaysLocationInstructor
Financial ComputingIE523B55482LCD41400 - 1520 M W  112 Transportation Building Ramavarapu S Sreenivas
Financial ComputingIE523ONL72244ONL4 -    Ramavarapu S Sreenivas

Documents

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.

Last updated

8/23/2016