Jul 12, 2024  
Rensselaer Catalog 2015-2016 
Rensselaer Catalog 2015-2016 [Archived Catalog]

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CSCI 6120 - 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. Students cannot receive credit for both CSCI 4120 and CSCI 6120.

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 4120.

Credit Hours: 4

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