G22.3033-008: Financial Computing I
2009 Spring Eran Fishler

Summary

This course is intended to introduce the students to the basic concepts of Computational Finance and explore various relations between Computer Science and Finance. In particular, the course will introduce both theoretical and practical aspects of finance with an emphasis on the relation between real-life applications and these concepts. We will cover various issues like high-frequency market simulators, framework for performing statistical simulations, we will discuss and model various financial instruments. Strong emphasis will be put on efficiency and proper design. As such, Object Oriented (OO) concepts will be discussed and put to use in real life applications.

During the course we are going to have many programming exercises and large portion of the grade will be based on these exercises. We will use Java as our programming language (sorry no substations). As such working knowledge of Java in general and JDK 1.5 in particular is essential. If you are not familiar with Java and you still want to join the course, you must study Java before the class begin.

Finance and computational Finance, in particular, is a multi-desciplinary in nature. For example, creating a re-usable simulation framework requires, understanding of statistics, good OO design skills, and the financial model underling the instruments behavior. As such, we will need to study all these concepts simultaneously, and try to combine them together creating a useful frameworks.

I will publish a tentative detailed schedule in the next couple of days, so please check in.

Official Prerequisites

Fundamental Algorithms, Programming Languages, background in calculus and linear algebra.

Teaching Team

Instructor: Eran Fishler.
email: fishler at cs dot nyu dot edu
Office Hours: Wedensday 18:00-19:00, room 328 WWH
TA: To be announced.

Tentative Schedule

Announcements