CS 522: Computational Tools
and Methods for Finance (Spring 1998)

M,W, F 1:25 -- 2:15, Hollister 110

Fridays at 1:25-2:15 will be reserved for lab/problems.

Syllabus...

Announcements:

(updated on August 19, 1999)

Problem set 4 is due on Friday, May 1st, 1998 .

For the RiskWatch software tutorials, please note a change of room and time:
Friday April 10 and April 17: Upson 5130 from 1:00-2:00pm .

 

Problem Sets:

PDF files can be viewed using Acrobat Reader from Adobe. They can be printed on any postscript printer...

Problem set # 1 : (postscript or pdf)

Problem set # 1 Solution : (postscript or pdf)

Problem set # 2 : (postscript)

due on Friday March 13, 1998

You need the following m-files for the second problem set :

blspricefdam.m, blspricefdamsig.m amcontour.m mysig.m mysig1.m compA.m timestepcallam.m timestepputam.m leastsq.m nlsq.m lsint.m graderr.m cubici1.m cubici2.m cubici3.m searchq.m (blspricefdam.m and blspricefdamsig.m are updated on Mar 4. If you downloaded them before, please get the latest version.)

If you have any probem, please send an email to Yohan Kim (yhkim@cam.cornell.edu).

Problem set # 2 Solution : ( postscript or (pdf)

Problem set # 3 : ( postscript) and data file (data.m)

Problem set # 4 : ( pdf format)

(Note two small typos in question 3: the D matrix is nxm and the p vector is mx1)

 

Notes

Lecture notes:

Module 1: Equity Options (Robert Jarrow)

Module 2: Valuation/Use of MATLAB (Tom Coleman)

Module 3: Equity Options /cont. (Robert Jarrow)

Module 4: Numerical solution for Black-Scholes equation (Tom Coleman)

Module 5: Bond Price Analytics (Robert Jarrow)

Module 6: Treasury Zero Curves (Robert Jarrow)

Module 7: Term Structure Models (Robert Jarrow)

Module 8: Matlab Bond Pricing Examples (Tom Coleman)

Module 9: Portfolio Theory (Robert Jarrow)

Module 10: Portfolio Optimization l (J.-F. Pusztaszeri)

Module 11: Portfolio Optimization ll (J.-F. Pusztaszeri)

 

Lab notes (Yohan Kim):

Lab 1: MATLAB Tutorial

Lab 2: MATLAB Financial Toolbox I

Lab 3: MATLAB Financial Toolbox II

Lab 4: Finite Difference Approach to Option Pricing I

Lab 5: Finite Difference Approach to Option Pricing II

Lab 6: Pricing Fixed Income Securities and Sensitivity Analysis

 

 

BOOK on RESERVE at the Engineering Library:

Jarrow & Turnbull, "Derivative Securities"
Matlab Financial Toolbox User’s Guide (2 copies)

 

Course Support:

The TA for this course is Yohan Kim (yhkim@cam.cornell.edu). Yohan will be in charge of the Friday labs and will be your main contact with regards to grading questions etc.

The office hours of Prof. Coleman are : 1-2pm Tuesdays, 647 Rhodes Hall
The office hours of Prof. Jarrow are : 11:30-1:00pm Mondays and Wednesdays, 520 Malott Hall
The office hours of Yohan Kim are : 3-4pm Wednesdays, 657 Rhodes Hall

Jean-Francois Pusztaszeri (jfp@cs.cornell.edu) is a postdoctoral researcher who is available for help in this course.

Yuying Li (yuying@cs.cornell.edu) is a senior research associate who will be available for help in this course, especially regarding the Algorithmics software.