Jan 15, 2025  
Rensselaer Catalog 2024-2025 
    
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Rensselaer Catalog 2024-2025
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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 2210  and CSCI 2300 ; or permission of instructor.

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

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

Credit Hours: 4


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