FE518 Mathematica for Finance
Course Catalog Description
Introduction
Campus | Fall | Spring | Summer |
---|---|---|---|
On Campus | X | ||
Web Campus | X |
Instructors
Professor | Office | |
---|---|---|
Dragos Bozdog
|
dbozdog@stevens.edu | Babbio 429A |
More Information
Course Description
Main topics include: Mathematica Language: Lists, Patterns and Rules, Functional and Procedural Programming, Graphics and Visualization, Dynamic Expressions and Optimizing Mathematica Programs Mathematica Finance Applications: Cash Account Evolution, Stock Price Evolution European Style Options, Stock Market Statistics, Implied Volatility for European Options, American Style Stock Options, Optimal Portfolio Rules, Advanced Trading Strategies
Course Resources
Textbook
Stojanovic, S., Computational financial mathematics using MATHEMATICA: optimal trading in stocks and options, Boston: Birkhäuser, 2003. (ISBN: 978‐0‐8176‐4197‐9)
Additional References
Wellin, P. Programming with Mathematica®: An Introduction, 4th Revised edition, Cambridge University Press, 2013. (ISBN: 978‐1107009462)
Grading
Grading Policies
- 40% Assignments
- 20% Class work
- 40% Final exam
Lecture Outline
Topic | Reading | |
---|---|---|
Week 1 | Introduction to Financial Engineering | Ch. 1&2 |
Week 2 | Capital Markets Overview | Ch. 3 |
Week 3 | Corporate Finance & Valuation | Ch. 3 |
Week 4 | Equity Analysis | Ch. 4 |
Week 5 | Fixed Income Debt Securities | Ch. 4 |
Week 6 | Overview of Bonds Sectors & Instruments | Ch. 4 |
Week 7 | Valuation of Debt Securities | Ch. 4 |
Week 8 | Securitized Products | |
Week 9 | Leveraged Loans & CLO's | Ch.5 |
Week 10 | General Principles of Credit Analysis | Ch. 5 |
Week 11 | Foreign Exchange | Ch. 6 |
Week 12 | Poisson Processes and Jump Diffusion | Ch. 11 |
Week 13 | Exotic Options | Ch. 7 |
Week 14 | Review & Catch-up |