Dec 03, 2020  
Rensselaer Catalog 2019-2020 
Rensselaer Catalog 2019-2020 [Archived Catalog]

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CSCI 4120 - Computational Finance

Introduction to the computational and mathematical techniques for practical financial applications. The course will emphasize the algorithmic side of finance. Topics will be selected from pricing (options and derivatives), trading, risk-evaluation, selfish agents, sequential decisions, and portfolio optimization. Examples of the mathematical and algorithmic techniques covered are martingale measures, risk-neutral pricing and Monte Carlo, dynamic programing, and stochastic processes.

Prerequisites/Corequisites: Prerequisites: CSCI 2300; an advanced 4000-level algorithms-based CSCI or MATH course; familiarity with probability, linear algebra, and calculus.

When Offered: Fall term even-numbered years, upon availability of instructor.

Cross Listed: CSCI 6120. Students cannot receive credit for both CSCI 4120 and CSCI 6120.

Credit Hours: 4

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