Financial Computation

(Est. February 1995)

This course is the result of the interaction between three disciplines: financial economics (especially asset pricing), computer science (especially algorithms and software design), and mathematics (especially statistics and stochastic processes, which are often not considered parts of mathematics, but that is another story). We do not assume you already had prior knowledge in financial theory or, less importantly, economics; in fact, we assume the students are new to the field. Any necessary background information is included in the handout Financial Engineering & Computation: Principles, Mathematics, Algorithms. This handout had been used several times before. It is your responsibility to read the handout carefully to bridge any gap in knowledge.

Problem Sets and Programming Exercises

Homework should be turned in on time. No late homework will be accepted without legitimate reasons. Please treat each homework set as a take-home quiz; no collaboration is allowed.
There will be 2 to 4 programming assignments. You are expected to write your own codes and turn in your source code. Do not copy. Never ask your friends to write programs for you.
Do program carefully. It is much more important to get the numbers right than to get a pretty user interface running. We will try all kinds of malicious means to bring down your program. So do check for array boundaries, etc. We strongly recommend the use of the C++ language and Java.