Bu/230 Week 2 Quantitative Quantitative Financial Analysis

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|[pic] |Quantitative Financial Analysis | | |2 credits | | | | | |BU.230.710.52 | | |Tuesdays 6-9pm, 3/24/2015-5/12/2015 | |…show more content…
Using Matlab as the programming platform, this course will expose students to hands-on computer exercises on advanced quantitative topics. This course will train students to become familiar with simulation techniques in modern financial engineering. Matlab is widely used in many science disciplines and is also emerging as one of the most popular programming platforms in the financial industry. Prerequisite(s): (BU.232.710 or BU.756.761 or BE.756.761) and (BU.232.701 or BU.756.760 or BE.756.760) Course Overview: The past financial crisis showed how difficult it is to correctly price financial instruments. In the course, students will learn how to apply stochastic calculus and simulation techniques to solve financial problems and also how to develop and/or adapt the existing contingent claim models to support financial engineering platforms and applications. The coverage of options pricing and credit derivatives builds heavily on what you learned in Derivatives. Course topics are as follows, • MATLAB • Monte Carlo Simulations • Options Pricing • Credit…show more content…
|Week |Date |Content |Reading |Assignments | |1 |03/24/2015 |Programming in Matlab: mathematical |AG: Chapters 1, 2, 3, and 4 |HW#1 Assigned | | | |expression, script files, and arrays | | | |2 |03/31/2015 |Programming in Matlab: conditional statements,|AG: Chapters 5, 6, and 7 |HW#2 Assigned | | | |loops, plot, and user-defined functions | |HW#1 Due | |3 |04/07/2015 |Probability, Statistics, and Simulations: |HLS: Chapters 1, 2, 3, and 4 |HW#3 Assigned

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