CS522 Computational Finance
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|Tibor Janosiemail@example.com||255-4029||4152 Upson|| Thursday, 3:00-4:00 pm
(or by appointment)
|Radu Popovici (TA)||firstname.lastname@example.org||255-911||334 Upson|| Monday, 3:00-4:00 pm
Wednesday, 5:30-6:30 pm
Important note: The doors to the top two floors of Upson Hall are locked at 5 pm. Please plan for this if you want to attend office hours after 5 pm. Feel free to call the person you want to meet in their office and ask them to open the door for you.
Two books that you will find useful are:
Broadly speaking, the course will consist of three big parts. In the first part, we will explore issues related to the time value of money, focusing on non-parametric smoothing of forward rate curves based on Treasury bond data. In the second part we will discuss the valuation of options, and we will introduce stochastic differential equations, the Black-Scholes formula, binomial pricing techniques, partial differential equations, and Monte Carlo techniques. In the third part we will explicitly model the evolution of interest rates, and we will extend our pde and Monte Carlo methods to handle the valuation of derivatives. In this part we will also introduce HJM models.
Most programming will be done in Matlab. Knowledge of scripting languages, text file manipulation utilities, and simple database notions will be useful.