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Hanlon Financial Systems Lab Web Encyclopedia - User contributions [en]
2024-03-28T18:40:56Z
User contributions
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https://web.stevens.edu/hfslwiki/index.php?title=FE545_Design,_Patterns_and_Derivatives_Pricing&diff=5004
FE545 Design, Patterns and Derivatives Pricing
2018-02-21T22:01:47Z
<p>Wikieditor: </p>
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<div>{{Template:Course_Temp<br />
<br />
|Name = [[Xugong Li]]<br />
|Email = xli7@stevens.edu<br />
|Phone = <br />
|Office = <br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Xugong_Li.jpg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
BC 220<br />
|Classtime = <br />
F 06:15-08:45<br />
|Opening_Term = Fall On Campus, Fall Online<br />
<br />
|Course_Intro =<br />
<br />
<br />
|Outcomes = <br />
<br />
<br />
|Description = <br />
<p>This course covers the design patterns and implementation of financial models using object oriented programming (C++). It discusses advanced applications on quantitative finance with special emphasis on derivatives pricing and their calculations using commonly known formulas such as the Black-Scholes and lattice models. The course uses available simulation techniques such as Monte Carlo simulation and its implementations in financial engineering problems.</p><br />
<br />
|Textbook = <br />
<ul><br />
<li class="MsoNormal" style="margin-left: 27.0pt; mso-layout-grid-align: none; text-autospace: none;">C++ Design Patterns and Derivatives Pricing, Second edition<span style="font-size: 11.0pt; font-family: TimesNewRoman; mso-bidi-font-family: TimesNewRoman; color: black; mso-fareast-language: ZH-CN;">, Mark S. Joshi.</span><span style="line-height: 1.3em; font-size: 11pt; font-family: TimesNewRoman; color: black;">ISBN-10:</span><span style="line-height: 1.3em; font-size: 11pt; font-family: TimesNewRoman;">0521721628, ISBN-13: 978-0521721622</span></li><br />
</ul><br />
<br />
|Reading = <br />
<ul><br />
<li><span class="MsoHyperlink"><b><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;"><a href="http://www.cplusplus.com/doc/tutorial/">http://www.cplusplus.com/doc/tutorial/</a> </span></b></span><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;"> <b>C++ Language Tutorial</b></span></li><br />
<li><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;"><b><span style="font-size: 12pt;"><a href="http://www.oodesign.com/">http://www.oodesign.com/</a> Design Pattern</span></b></span></li><br />
<li><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;"><b><span style="font-size: 12pt;"><span style="font-size: 12pt;"><a href="http://sourcemaking.com/design_patterns">http://sourcemaking.com/design_patterns</a> Design Pattern</span></span></b></span></li><br />
<li><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;"><b><span style="font-size: 12pt;"><span style="font-size: 12pt;"><span class="apple-style-span"><span style="font-size: 9.0pt; font-family: 'Verdana',sans-serif; mso-fareast-font-family: 'Times New Roman'; mso-bidi-font-family: 'Times New Roman'; color: black; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;"><a href="http://www.markjoshi.com/design/index.htm" target="_new">http://www.markjoshi.com/design/index.htm</a> Homepage of C++ Patterns and Derivatives Pricing</span></span></span></span></b></span></li><br />
<li>C++ Primer, Fourth Edition, Stanley B. Lippman, Josée Lajoie, Barbara E. Moo ISBN-10: 0201721481, ISBN-13: 978-0201721485</li><br />
<li><span class="apple-style-span"><span style="color: #000000; font-family: Verdana, sans-serif;"><b><span style="font-size: 12px;">Thinking in C++, 2nd ed. Volume 1, 2000 by Bruce Eckel</span></b></span></span></li><br />
</ul><br />
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|GradingPolicy = <br />
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}}<br />
== Lecture Outline ==<br />
<table class="MsoNormalTable" style="width: 468.9pt; border-collapse: collapse; border: none; mso-border-alt: solid windowtext .5pt; mso-yfti-tbllook: 480; mso-padding-alt: 0in 5.4pt 0in 5.4pt; mso-border-insideh: .5pt solid windowtext; mso-border-insidev: .5pt solid windowtext;" border="1" width="625" cellspacing="0" cellpadding="0"><br />
<br />
<tr style="mso-yfti-irow: 0; mso-yfti-firstrow: yes; height: 12.75pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal"> </p><br />
</td><br />
<td style="width: 207.0pt; border: solid windowtext 1.0pt; border-left: none; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal"><b>Topic(s)</b></p><br />
</td><br />
<td style="width: 2.5in; border: solid windowtext 1.0pt; border-left: none; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal"><b>Reading(s)</b></p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 1; height: 29.65pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 29.65pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week 1</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 29.65pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">Class overview and</p><br />
<p class="MsoNormal">Basics of C++</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 29.65pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal"> C++ Language Tutorial</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 2; height: 26.5pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 26.5pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week2</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 26.5pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">C++ Control Structures</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 26.5pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal">C++ Language Tutorial</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 3; height: 26.5pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 26.5pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week3</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 26.5pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">C++ Compound Data Types</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 26.5pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal">C++ Language Tutorial</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 4; height: 34.6pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 34.6pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week4</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 34.6pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">C++ Object Oriented Programming</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 34.6pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal">C++ Language Tutorial</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 5; height: 31.9pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.9pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week5</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.9pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">C++ Containers and Algorithms</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.9pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal">C++ Language Tutorial</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 6; height: 31.0pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week 6</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">A simple Monte Carlo model.</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal"> Chapter 1</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 7; height: 31.0pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week 7</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">Encapsulation</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal"> Chapter 2</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 8; height: 31.0pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week 8</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">Inheritance and virtual functions.</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal"> Chapter 3</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 9; height: 31.0pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week 9</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">Bridging with a virtual constructor.</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal"> Chapter 4</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 10; height: 31.0pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week 10</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">Strategies, decoration and statistics.</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal"> Chapter 5</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 11; height: 36.4pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 36.4pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week 11</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 36.4pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">Random number generators.</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 36.4pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal"> Chapter 6</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 12; height: 39.1pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 39.1pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week 12</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 39.1pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">An option engine and the template pattern.</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 39.1pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal"> Chapter 7</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 13; height: 33.25pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 33.25pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week 13</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 33.25pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">Options Pricing using Black-Scholes.</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 33.25pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal"> Chapter 7</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 14; mso-yfti-lastrow: yes; height: 23.35pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 23.35pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week 14</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 23.35pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">Exceptions and Project Presentation</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 23.35pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal"> Chapter 13</p><br />
</td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE550_Data_Visualization_Applications&diff=5003
FE550 Data Visualization Applications
2018-02-21T22:01:43Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Brian Moriarty]]<br />
|Email = brian.moriarty@stevens.edu<br />
|Phone = <br />
|Office = <br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/3e8426a.jpg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
Hanlon Lab<br />
|Classtime = <br />
W 06:15-08:45PM <br />
|Opening_Term = Fall On Campus, Fall Online, Spring On Campus, Spring Online<br />
<br />
|Course_Intro =<br />
Effective visualization of complex data allows for useful insights, more effective communication, and making decisions. This course investigates methods for visualizing financial datasets from a variety of perspectives in order to best identify the right tool for a given task. Students will use a number of tools to refine their data and create visualizations, including: R and associated visualization libraries, Ruby on Rails visualization tools, ManyEyes, HTML5 & CSS 3, D3.js and related javascript libraries, Google Chart Tools, Google Refine, and image-editing programs.<br />
<br />
|Outcomes = <br />
<ol><br />
<li>Develop knowledge of tools for visualizing datasets with emphasis on financial datasets.</li><br />
<li>Develop a programmatic understanding of translating data into useful visual forms</li><br />
<li>Develop a critical vocabulary to engage and discuss information visualization</li><br />
<li>Develop an understanding of data visualization theory.</li><br />
<li>Understanding of ethical considerations for data visualization</li><br />
</ol><br />
<br />
|Description = <br />
<p>Effective visualization of complex data allows for useful insights, more effective communication, and making decisions. This course investigates methods for visualizing financial datasets from a variety of perspectives in order to best identify the right tool for a given task. Students will use a number of tools to refine their data and create visualizations, including: Tableau 9.3/10 Beta, R and associated visualization libraries, HTML5 &amp; CSS 3, D3.js and related javascript libraries, Open Refine, basic Python scripting, and image-editing programs.</p><br />
<p> </p><br />
<p>Tools Used In This Course</p><br />
<p> </p><br />
<ul><br />
<li>Tableau Desktop 9.3/10 Beta</li><br />
<li>D3.js and related javascript libraries</li><br />
<li>R and R visualization and analysis packages</li><br />
<li>Additional tools and libraries as needed at student discretion</li><br />
</ul><br />
<br />
|Textbook = <br />
<ul><br />
<li>Milligan, Joshua N., <strong>Learning Tableau How Data Visualization Brings Business Intelligence to Life</strong>. Packt Publishing, 2015. ISBN: 9781784391164<br />
<ul><br />
<li>Create meaningful data visualizations and dashboards in Tableau</li><br />
<li>Analyze and display your data effectively using Tableau</li><br />
<li>Extend the value and functionality of your data with this step-by-step guide</li><br />
</ul><br />
</li><br />
<li>Maclean, Malcolm. <strong>D3 Tips and Tricks</strong>, Available online at: <a href="https://leanpub.com/D3TipsandTricks">https://leanpub.com/D3TipsandTricks</a></li><br />
<li><br />
<ul><br />
<li>Over 580 pages of tips and tricks for using d3.js, one of the leading data visualization tools for the web. It's aimed at helping you get started and move forward. Includes over 50 downloadable code examples. You can download for free or donate to encourage further development if you wish :).</li><br />
</ul><br />
</li><br />
<li>Tufte, Edward. The Visual Display of Quantitative Information. Cheshire, CT: Graphics Press, 2001. Print. ISBN: 9780961392147</li><br />
<li><br />
<ul><br />
<li>Available online here: <a href="http://www.colorado.edu/UCB/AcademicAffairs/ArtsSciences/geography/foote/maps/assign/r eading/TufteCoversheet.pdf">http://www.colorado.edu/UCB/AcademicAffairs/ArtsSciences/geography/foote/maps/assign/r eading/TufteCoversheet.pdf</a></li><br />
</ul><br />
</li><br />
</ul><br />
<br />
|Reading = <br />
<p>There are many solid texts available through Safari Books Online including, but certainly not limited to:</p><br />
<ul><br />
<li>Interactive Data Visualization for the Web, by Scott Murray; ISBN: 9781449339739</li><br />
<li>Data Visualization with d3.js, by Swizec Teller; ISBN: 9781782160007</li><br />
<li>Data Visualization: A Successful Design Process, by Andy Kirk; ISBN: 9781849693462</li><br />
</ul><br />
<p> </p><br />
<p>Some good resources include:</p><br />
<ul><br />
<li>Joshua Milligan’s site, <a href="http://vizpainter.com/">Viz Painter</a></li><br />
<li>Nathan Yau’s Flowing Data</li><br />
<li>Various Twitter feeds, including <a href="https://twitter.com/jeffrey_heer">Jeffrey Heer</a> , <a href="https://twitter.com/mbostock">Mike Bostock</a> ,<a href="https://twitter.com/OlaRosling"> Ola Rosling</a> , <a href="https://twitter.com/Duenes">Steve Duenes</a> , <a href="https://twitter.com/FakeStephenFew">Stephen Few</a> , <a href="https://twitter.com/mccandelish">David McCandless</a> , <a href="https://twitter.com/hfairfield">Hannah Fairfield</a> , <a href="https://twitter.com/ben_fry">Ben Fry</a> , <a href="https://twitter.com/krees">Kim Rees</a> and many others….</li><br />
<li>LinkedIn Groups: <a href="https://www.linkedin.com/groups/Visual-Analytics">Visual Analytics</a> ,<a href="https://www.linkedin.com/groups/Data-Mining-Statistics-Big-Data-152247"> Data Mining</a>, <a href="https://www.linkedin.com/groups/Data-Mining-Statistics-Big-Data-152247">Statistics</a>,<a href="https://www.linkedin.com/groups/Data-Mining-Statistics-Big-Data-152247"> Big Data</a>, and<a href="https://www.linkedin.com/groups/Data-Mining-Statistics-Big-Data-152247"> Data Visualization</a></li><br />
<li>Other Resources: <a href="http://bl.ocks.org/">bl.ocks.org</a> ,<a href="http://stackoverflow.com/questions/tagged/d3.js"> Stack Overflow</a> , <a href="https://groups.google.com/forum/?fromgroups#!forum/d3-js">Google Groups</a> , <a href="http://visual.ly/">Visual.ly</a> , <a href="http://flowingdata.com/">Flowing Data</a> , <a href="http://ilovecharts.tumblr.com/">ilovecharts </a>, <a href="http://www.visualizing.org/">Visualizing.org</a> , <a href="http://www.informationisbeautiful.net/">Information is Beautiful</a> , <a href="http://fivethirtyeight.com/">538 </a>, <a href="http://www.visualisingdata.com/index.php/resources/">Visualizing Data</a> ,<a href="http://www.visualisingdata.com/index.php/resources/"> Visual Complexity</a> ,<a href="http://www.numberpix.com/">Pictures of Numbers</a></li><br />
</ul><br />
<br />
|GradingPolicy = <br />
<p>Course grades are calculated precisely based on the following components:</p><br />
<p>1) Participation (Discussion, Peer Reviews, course engagement): 30%</p><br />
<p>2) Team Data Product Prototype : 20% (5% for each of two updates, 10% for final</p><br />
<p>submission)</p><br />
<p>3) Assignments: 20% (5% per assignment)</p><br />
<p>4) Individual Final Project (broken down by submission component): 30% (5% proposal,</p><br />
<p>5% prototype/functional model, 20% final submission)</p> <br />
}}<br />
== Lecture Outline ==<br />
<p>Week One, August 31, 2016: Course Introduction</p><br />
<p>Topics:</p><br />
<p>1) Course/Syllabus overview</p><br />
<p>2) Basic exercises using Tableau: Tableau Public/Connecting to Data</p><br />
<p>3) Course topics and tools: Tableau Desktop 9.3/10, D3.js (and related), Chrome Dev Tools,</p><br />
<p>HTML/CSS, additional data visualization tools, and data visualization history</p><br />
<p>4) Setting up a local web server</p><br />
<p>5) Text Editors</p><br />
<p>6) A brief history of data visualization</p><br />
<p> </p><br />
<p>Week Two, September 7, 2016: Introduction to Tableau</p><br />
<p>Topics:</p><br />
<p>1) Basic exercises using Tableau: UI Overview (Optional: Discrete and Continuous Data)</p><br />
<p>2) The Pros and Cons of Infographic data display</p><br />
<p>3) Bad examples of data visualization</p><br />
<p>4) Telling stories with data visualization</p><br />
<p>5) Project Team Assembly</p><br />
<p>6) Using RAW</p><br />
<p>7) Getting Data</p><br />
<p> </p><br />
<p>Week Three, September 14, 2016: (Very basic) Introduction to d3.js</p><br />
<p>Topics:</p><br />
<p>1) Basic exercises using Tableau: Basic Charts, Aggregation, Granularity, and Level of</p><br />
<p>Detail, Introduction on Joins</p><br />
<p>2) Presentation of homework assignments[1]</p><br />
<p>3) dimple.js</p><br />
<p>4) Using nvd3.js</p><br />
<p> </p><br />
<p>Week Four, September 21, 2016: HTML/CSS</p><br />
<p>Topics:</p><br />
<p>1) Basic exercises using Tableau: Dashboards and Stories, Formatting Basics, more about</p><br />
<p>joins</p><br />
<p>2) Usage of HTML and CSS for data visualization</p><br />
<p>3) Writing pseudocode</p><br />
<p>4) Data Product Team Proposal</p><br />
<p>5) Overview of temporal data visualization.</p><br />
<p> </p><br />
<p>Week Five, September 28, 2016: Chrome Developer Tools</p><br />
<p>Topics:</p><br />
<p>1) Basic exercises using Tableau: More with Dashboards and Stories, Calculated Fields</p><br />
<p>2) Getting the most out of Chrome Developer Tools</p><br />
<p> </p><br />
<p>Week Six, October 5, 2016: Working with Data</p><br />
<p>Topics:</p><br />
<p>1) Basic exercises using Tableau: Maps Intro</p><br />
<p>2) The 8020</p><br />
<p>Rule</p><br />
<p>3) Overview of network data visualizations .</p><br />
<p>4) Working with and Cleaning Data, using:</p><br />
<ul><br />
<li>a) Mr. Data Converter</li><br />
<li>b) Data Wrangler</li><br />
<li>c) Open Refine</li><br />
<li>d) Google Fusion Tables</li><br />
</ul><br />
<p> </p><br />
<p>Week Seven, October 12, 2016: Developing Your Own Ideas</p><br />
<p>Topics:</p><br />
<p>1) Advanced exercises using Tableau: Charts</p><br />
<p>2) Developing your idea using mind maps</p><br />
<p> </p><br />
<p>Week Eight, October 19, 2016: Design Considerations</p><br />
<p>Topics:</p><br />
<p>1) Advanced exercises using Tableau: Social Media</p><br />
<p>2) The 4x4 Model for Knowledge Content</p><br />
<p>3) Overview of map-based</p><br />
<p>data visualization .</p><br />
<p> </p><br />
<p>Week Nine, October 26, 2016: Journalism and Ethics</p><br />
<p>Topics:</p><br />
<p>1) Review of data visualization assignments.</p><br />
<p> </p><br />
<p>Week Ten, November 2, 2016: Other (Potentially Useful) Tools</p><br />
<p>Topics:</p><br />
<p>1) Plot.ly</p><br />
<p>2) Shiny</p><br />
<p>3) RaphaelJS</p><br />
<p>4) TimelineJS</p><br />
<p>5) QueueJS</p><br />
<p>6) Crossfilter</p><br />
<p> </p><br />
<p>Week Eleven, November 9, 2016: Final Project Proposal Submission</p><br />
<p>Topics:</p><br />
<p>Submission and review of individual final project proposals</p><br />
<p> </p><br />
<p>Week Twelve, November 16, 2016: “Advanced” Topics 1</p><br />
<p>Topics:</p><br />
<p>1) “Advanced” topics in Tableau</p><br />
<p> </p><br />
<p>Week Thirteen, November 30, 2016: Final Project Proposal Design Review</p><br />
<p>Topics:</p><br />
<p>Advanced Design Considerations</p><br />
<p> </p><br />
<p> </p></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE570_Market_Microstructure_and_Trading_Strategies&diff=5002
FE570 Market Microstructure and Trading Strategies
2018-02-21T22:01:39Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Anatoly Schmidt]]<br />
|Email = aschmid1@stevens.edu<br />
|Phone = <br />
|Office = <br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Alec120919a.JPG<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
Burchard Building 514<br />
|Classtime = <br />
T 06:15-08:45PM <br />
|Opening_Term = Fall On Campus, Fall Online, Spring On Campus, Spring Online<br />
<br />
|Course_Intro =<br />
This course offers an overview of modern financial markets for various securities (equities, FX, and fixed income), different types of traders, orders, and market structures, market microstructure models used for describing price formation in for the various markets including inventory models and information-based models and models of limit-order markets. It also introduces several typical trading strategies including trend, momentum, and oscillator-based strategies, arbitrage trading strategies, as well as the methods of deriving and back-testing these trading strategies. Students are required to learn the basics of R statistical computing language, and be able to analyze financial data using the models learned from this course.<br />
<br />
|Outcomes = <br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">After taking this course, the student will be able to:</p><br />
<ul style="line-height: 1.5em; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII='); color: #000000; font-family: sans-serif; font-size: 12.8px;"><br />
<li style="margin-bottom: 0.1em;">Form a broad understanding of how various markets work and how securities are traded.</li><br />
<li style="margin-bottom: 0.1em;">Develop a firm understanding the mechanics of market microstructure and price discovery.</li><br />
<li style="margin-bottom: 0.1em;">Formulate and back-test various trading strategies.</li><br />
<li style="margin-bottom: 0.1em;">Be able to analyze market data and discover market patterns using R package.</li><br />
</ul><br />
<br />
|Description = <br />
<br />
<br />
|Textbook = <br />
<ol style="line-height: 1.5em; margin: 0.3em 0px 0px 3.2em; padding: 0px; list-style-image: none; color: #000000; font-family: sans-serif; font-size: 12.8px;"><br />
<li style="margin-bottom: 0.1em;">Financial Markets and Trading: An Introduction to Market Microstructure and Trading Strategies, By Anatoly B. Schmidt, John Wiley &amp; Sons, Inc.- ISBN - 978-0470924129</li><br />
<li style="margin-bottom: 0.1em;">Empirical Market Microstructure, By Joel Hasbrouck, Oxford University Press, ISBN - 978-0195301649</li><br />
</ol><br />
<br />
|Reading = <br />
<br />
<br />
|GradingPolicy = <br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">You will be given a dataset, and you will apply the methods which you have learned. If you do it right, this can be an immensely satisfying experience. You will turn in this project - I don't want the computer output, but descriptions of the results IN YOUR OWN WORDS - 3 single spaced pages, including plots, at most. We will talk more about this as the semester proceeds. You will each give a brief presentation on your project to the class, during the last week - Attendance is MANDATORY at the presentations – Dec 18 (tentatively)!!!</span></p><br />
<p> </p><br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">Attendance will be taken randomly (e.g., 6-7 times during the semester) and will determine "which direction" the resulting grade will “fall”, for those grades which are borderline (e.g., between B+ or A-).</span></p> <br />
}}<br />
== Lecture Outline ==<br />
<table class="wikitable" style="font-size: 12.8px; margin: 1em 1em 1em 0px; background-color: #f9f9f9; border: 1px solid #aaaaaa; border-collapse: collapse; color: #000000; font-family: sans-serif;"><br />
<br />
<tr><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">Week</th><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">Topic(s)</th><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">Reading(s)</th><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">HW</th><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">1</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Introduction to Financial Markets</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">2</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Modern Financial Markets and Trading Mechanism</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">J.Hasbrouch[1,2]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">HW1</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">3</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">The Roll Model of Trade Prices</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">J. Hasbrouck [3]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">4</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Univariate Time-Series Analysis I</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">J. Hasbrouck [4]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">5</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Univariate Time-Series Analysis II</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">J. Hasbrouck [4]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">HW2</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">6</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Inventory Models</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">A.Schmidt[3]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">7</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Market Microstructure: Information-based Models</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">A.Schmidt[4]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">8</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Empirical Market Microstructure</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">A.Schmidt[6]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">HW3</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">9</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Mid-term Exam</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">EXAM-I</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">10</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Technical Trading Strategies</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">A.Schmidt[10]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">11</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Arbitrage Trading Strategies</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">A.Schmidt[11]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">12</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Optimal Order Execution</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">A.Schmidt[13]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">HW4</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">13</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Implementing and Back-testing of Trading Strategies I</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">A.Schmidt [12]&amp;Others</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">14</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Implementing and Back-testing of Trading Strategies II</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">A.Schmidt [12]&amp;Others</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">15</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Implementing and Back-testing of Trading Strategies III</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">A.Schmidt [12]&amp;Others</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">16</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Final Exam</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">EXAM-II<br /><br /></td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE575_Introduction_to_Econophysics&diff=5001
FE575 Introduction to Econophysics
2018-02-21T22:01:35Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Rupak Chatterjee]]<br />
|Email = Rupak.Chatterjee@stevens.edu<br />
|Phone = (201) 216 3393<br />
|Office = Babbio 545<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Rupak_Chatterjee.jpg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
<br />
|Classtime = <br />
<br />
|Opening_Term = Fall On Campus<br />
<br />
|Course_Intro =<br />
Financial engineers or quantitative analysts of today are facing many challenges related to being self-critical and going outside of common-core quantitative finance subjects such as portfolio theory, rational option pricing. Issues related to limits of classical finance, which normally surface at short-term price changes (less than a day), specifically in the most liquidly traded financial instruments, and are normally scarcely covered in financial engineering programs.<br />
<br />
|Outcomes = <br />
<p>For an arbitrary real-life financial price series, students will be able to:</p><br />
<p>1) Develop and apply certain statistical tests that will rationally compare the properties against those of a Random Walk;</p><br />
<p>2) Students will know the basic analytical and statistical tools that can be used for statistical price description;</p><br />
<p>3) Determine possible price anomalies that may be present in it, such as: fat tails of price-change distribution function; presence of short- and/or long-correlations in price changes or their functions, such as short-term volatility;</p><br />
<p>4) Based on those price anomalies develop basic trading strategies exploiting them;</p><br />
<p>5) Develop a set of robust (with minimized over-fitting) techniques to parameterize the trading strategies.</p><br />
<br />
|Description = <br />
<p>The course will apply certain concepts from statistical physics to the description of real-life financial time series. It will introduce the notion of Random Walk from the physicist stand-point and propose various statistical tests as comparisons of real-life financial time series properties with those of a Random Walk.</p><br />
<p>The course will introduce statistical description of financial data with emphasis on long-memory correlation functions. The course will introduce Levy stochastic processes and their analytical properties and use them to parameterize the real-life financial time series probability density functions. Through homework’s and final project, the course will stress phenomenological hands-on work with financial data.</p><br />
<p>The course will culminate with the final project in which students will learn to extract the learned price anomalies through development of basic trading strategies. The dangers of over fitting of financial data will be studied through walk-forward out-of- sample trading simulations, which will teach student to become more prudent practical quantitative analysis.</p><br />
<br />
|Textbook = <br />
<p>Introduction to Econophysics: Correlations and Complexity in Finance. By R.N. Mantegna, H.E.</p><br />
<p>Stanley. ISBN-10: 0521039878.</p><br />
<br />
|Reading = <br />
<br />
<br />
|GradingPolicy = <br />
<p>HW 60% Final Project 40%</p> <br />
}}<br />
== Lecture Outline ==<br />
<table style="height: 529px;" border="1" width="600"><br />
<br />
<tr style="height: 66px;"><br />
<td style="width: 161px; height: 66px;"> </td><br />
<td style="width: 161px; height: 66px;">Topic(s)</td><br />
<td style="width: 162px; height: 66px;">HW</td><br />
</tr><br />
<tr style="height: 66px;"><br />
<td style="width: 161px; height: 66px;"><br />
<p>Week 1</p><br />
</td><br />
<td style="width: 161px; height: 66px;">Car Counting. Position sizing. Fixed-fraction betting. Kelly optimal betting. The combined strategy. St. Petersburg Paradox. Can markets be beaten?</td><br />
<td style="width: 162px; height: 66px;">Hw 1</td><br />
</tr><br />
<tr style="height: 44px;"><br />
<td style="width: 161px; height: 44px;">Week 2</td><br />
<td style="width: 161px; height: 44px;">Working financial data. Futures markets: exchanges, expirations (maturities). Conventions. Back-adjustment techniques.</td><br />
<td style="width: 162px; height: 44px;">Hw 2</td><br />
</tr><br />
<tr style="height: 44px;"><br />
<td style="width: 161px; height: 44px;">Week 3</td><br />
<td style="width: 161px; height: 44px;">Elementary notions of statistics, or particularly, of "statistical fluid mechanics" or of "statistical turbulence" theory. Probability Density Function. Mean. Stationary process.</td><br />
<td style="width: 162px; height: 44px;"> </td><br />
</tr><br />
<tr style="height: 44px;"><br />
<td style="width: 161px; height: 44px;">Week 4</td><br />
<td style="width: 161px; height: 44px;">Langevin equation. Continuous random walk. Log-Brownian motion. Mean-reversion model (Ornstein-Uhlenbeck process). Computer simulations of both for various values of parameters</td><br />
<td style="width: 162px; height: 44px;">Hw 3</td><br />
</tr><br />
<tr style="height: 44px;"><br />
<td style="width: 161px; height: 44px;">Week 5</td><br />
<td style="width: 161px; height: 44px;">Long memory Effects. Second deviation from Random Walk: Counting continuations of reversals: evidence of mean-reversion. Physical meaning of auto-correlation. Memory in stochastic processes:short-range memory vs. long-range memory.</td><br />
<td style="width: 162px; height: 44px;"> </td><br />
</tr><br />
<tr style="height: 44px;"><br />
<td style="width: 161px; height: 44px;"> Week 6</td><br />
<td style="width: 161px; height: 44px;">Response functions</td><br />
<td style="width: 162px; height: 44px;">Hw 4</td><br />
</tr><br />
<tr style="height: 44px;"><br />
<td style="width: 161px; height: 44px;">Week 7</td><br />
<td style="width: 161px; height: 44px;">Levy distribution. Definitions of Symmetric and Asymmetric Levy distribution functions.</td><br />
<td style="width: 162px; height: 44px;"> </td><br />
</tr><br />
<tr style="height: 45px;"><br />
<td style="width: 161px; height: 45px;">Week 8</td><br />
<td style="width: 161px; height: 45px;">Analogies between the high-frequency finance and the physics of fluid turbulence</td><br />
<td style="width: 162px; height: 45px;">Hw 5</td><br />
</tr><br />
<tr style="height: 45px;"><br />
<td style="width: 161px; height: 45px;">Week 9</td><br />
<td style="width: 161px; height: 45px;">Limit order book (LOB)</td><br />
<td style="width: 162px; height: 45px;"> </td><br />
</tr><br />
<tr style="height: 45px;"><br />
<td style="width: 161px; height: 45px;">Week 10</td><br />
<td style="width: 161px; height: 45px;">Sector-by-sector analysis of stock push response diagrams and variance ratio tests.</td><br />
<td style="width: 162px; height: 45px;">Hw 6</td><br />
</tr><br />
<tr style="height: 45px;"><br />
<td style="width: 161px; height: 45px;">Week 11</td><br />
<td style="width: 161px; height: 45px;">Buying Winners and Selling Losers: Investigation of Momentum</td><br />
<td style="width: 162px; height: 45px;"> </td><br />
</tr><br />
<tr style="height: 45px;"><br />
<td style="width: 161px; height: 45px;">Week 12</td><br />
<td style="width: 161px; height: 45px;">Elements of trading system design</td><br />
<td style="width: 162px; height: 45px;">Hw 8</td><br />
</tr><br />
<tr style="height: 45px;"><br />
<td style="width: 161px; height: 45px;">Week 13</td><br />
<td style="width: 161px; height: 45px;">The notion of drawdown</td><br />
<td style="width: 162px; height: 45px;"> </td><br />
</tr><br />
<tr style="height: 45px;"><br />
<td style="width: 161px; height: 45px;">Week 14</td><br />
<td style="width: 161px; height: 45px;">Final Presentations</td><br />
<td style="width: 162px; height: 45px;">Final Project</td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE580_Securitization_of_Financial_Assets&diff=5000
FE580 Securitization of Financial Assets
2018-02-21T22:01:31Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
<br />
<br />
|Classroom = <br />
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|Classtime = <br />
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|Opening_Term = <br />
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|Course_Intro =<br />
<br />
<br />
|Outcomes = <br />
<br />
<br />
|Description = <br />
<br />
<br />
|Textbook = <br />
<br />
<br />
|Reading = <br />
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|GradingPolicy = <br />
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}}<br />
== Lecture Outline ==</div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE582_Foundations_of_Financial_Data_Science&diff=4999
FE582 Foundations of Financial Data Science
2018-02-21T22:01:27Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Dragos Bozdog]]<br />
|Email = dbozdog@stevens.edu<br />
|Phone = (201) 216 3527<br />
|Office = Babbio 429A<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Dragos_Bozdog.jpg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
Babbio Center: Hanlon Financial Systems Lab<br />
|Classtime = <br />
T 06:00-07:50PM <br />
|Opening_Term = Fall On Campus, Fall Online, Spring On Campus, Spring Online<br />
<br />
|Course_Intro =<br />
This course will provide an overview of issues and trends in data quality, data storage, data scrubbing, and data flows. Topics will include data abstractions and integration, enterprise level data issues, data management issues with collection, warehousing, preprocessing and querying, similarity and distances, clustering methods, classification methods, text mining, and time series. Case studies will be presented in support of the theoretical concepts. Furthermore, the Hadoop-based programming framework for big data issues will be introduced along with any governance and policy issues. These concepts will be applied to areas such as digital marketing and computational advertising, energy and healthcare analytics, social media and social networks, and capital markets financial data. A one credit Hanlon lab course, FE-513: Practical Aspects of Database Design is co-requisite to this course in order to facilitate learning of the practical side of data management.<br />
<br />
|Outcomes = <br />
<p>After taking this course, the students will be able to:</p><br />
<ol><br />
<li>Have a working knowledge of the issues of data quality, data storage, data scrubbing, data flows, and data encryption and their potential solutions.</li><br />
<li>Understand and design various schemas needed for the representation of financial data.</li><br />
<li>Tackle problems dealing with data management issues such as collection, warehousing, preprocessing and querying.</li><br />
<li>Will get a primer on database management as well as advantages and disadvantages from the attached lab course FE 513.</li><br />
<li>Understand how to write applications using the map-reduce feature of Hadoop clusters.</li><br />
<li>Have a working understanding of all the databases available for them through the Hanlon lab.</li><br />
<li>Apply the newly acquired data management and database skills to financial data from the capital markets, social media, and the financial services sector.</li><br />
</ol><br />
<br />
|Description = <br />
<p>This course is the first course for the certificate in Financial Services Analytics. Financial services analytics is the science and technology of creating data-driven decision-making analytics for the financial services industry. This can lead to more effective business operations, enhanced customer services and product offerings, and improved risk analysis and risk management. This course is the key building block in this certificate as good data and the understanding of data is critical to the creation of robust financial services analytics. The financial services analytics certificate has four key areas making up its knowledge base:</p><br />
<ul><br />
<li>Foundations of Financial Data Science (FE-582)</li><br />
<li>Introduction to Knowledge Engineering (FE-590)</li><br />
<li>Financial Systems Technology (FE-595)</li><br />
<li>Data Visualization Applications (FE-550)</li><br />
</ul><br />
<p> </p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;"> </p><br />
<p>Co-Requisite: FE 513 – Practical Aspects of Database Design</p><br />
<br />
|Textbook = <br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">No single textbook covers all the topics. Several references will be used and supplementary notes will be provided whenever appropriate.</span></p><br />
<br />
|Reading = <br />
<ol><br />
<li>Charu C. Aggarwal, <em>Data Classification: Algorithms and Applications.</em> CRC Press, 2015. (ISBN: 978-1-4665-8674-1)</li><br />
<li>Charu C. Aggarwal, <em>Data Mining</em>. Springer, 2015. (ISBN: 978-3-319-14141-8)</li><br />
<li>Deborah Nolan and Duncan T. Lang, Data Science in R: <em>A Case Studies Approach to Computational Reasoning and Problem Solving</em>, CRC Press, 2015. (ISBN: 978-1-4822-3481-7)</li><br />
<li>Norman Matloff, <em>The Art of R Programming</em>, No Starch Press, 2011. (ISBN: 978-1-59327-384-2)</li><br />
<li>Cathy O’Neil and Rachel Schutt, <em>Data Science</em>, O’Reilly, 2014. (ISBN: 978-1-449-35865-5)</li><br />
</ol><br />
<br />
|GradingPolicy = <br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">HW 50% </span><br style="color: #000000; font-family: sans-serif; font-size: 14px;" /><span style="color: #000000; font-family: sans-serif; font-size: 14px;">Final Assignment 50%</span></p> <br />
}}<br />
== Lecture Outline ==<br />
<table><br />
<br />
<tr><br />
<td> </td><br />
<td>Topic</td><br />
</tr><br />
<tr><br />
<td>Week 1</td><br />
<td><br />
<p>Introduction to Financial Data Science. Data Science Process. Sample Data Processing. The Basic Data Types. The Major Building Blocks: A Bird’s Eye View.</p><br />
<p>Introduction to R.</p><br />
<p>Case Study: Exploratory Data Analysis (NYC Real Estate)</p><br />
</td><br />
</tr><br />
<tr><br />
<td>Week 2</td><br />
<td><br />
<p>Linear Algebra Review.</p><br />
<p>Financial Data Quality Issues and Data Scrubbing. Data Preparation. Feature Extraction and Portability. Data Cleaning. Data Reduction and Transformation. Handling Missing Entries. Handling Incorrect and Inconsistent Entries. Scaling and Normalization. Data Reduction and Transformation. Sampling for Static Data and Data Streams. Dimensionality Reduction Intro.</p><br />
</td><br />
</tr><br />
<tr><br />
<td>Week 3</td><br />
<td>Case Study: Data and Web Technologies (Web page retrieval, scrapping, regular expression extraction, basic statistical techniques to identify wrong data entries. Linear Model. Piecewise linear model.)</td><br />
</tr><br />
<tr><br />
<td>Week 4</td><br />
<td>Similarity and Distances. Impact of High Dimensionality. Lp-norm. Generalized Minkovski Distance. Contrast. Impact of Locally Irrelevant Features. Impact of Different Lp-Norms. Match-Based Similarity Computation. Impact of Data Distribution. ISOMAP. Impact of Local Data Distribution. Similarity on Categorical Data. Similarity on Mixed Quantitative and Categorical Data. Text Similarity Measures. Time Series Similarity Measures.</td><br />
</tr><br />
<tr><br />
<td>Week 5</td><br />
<td>Clustering Methods. K-Means Clustering. Hierarchical Clustering. Case Study: Clustering (NYC Real Estate). Financial Data Simulation.</td><br />
</tr><br />
<tr><br />
<td>Week 6</td><br />
<td>Classification Methods. Logistic Regression. Linear Discriminant Analysis. Quadratic Discriminant Analysis, K-NN.</td><br />
</tr><br />
<tr><br />
<td>Week 7</td><br />
<td>No Class. Monday Class Schedule.</td><br />
</tr><br />
<tr><br />
<td>Week 8</td><br />
<td>Mining Text Data. Specific Characteristics. Document Preparation and Similarity Computation. Specialized Clustering Methods for Text. Probabilistic Algorithms. Co-Clustering. Topic Modeling. Specialized Classification Methods for Text. Case Study: MangoDB Application</td><br />
</tr><br />
<tr><br />
<td>Week 9</td><br />
<td>Case Study: Using Statistics to Identify Spam</td><br />
</tr><br />
<tr><br />
<td>Week 10</td><br />
<td>Tree-Based Methods. Regression Trees. Tree Pruning. Case Study: TBD</td><br />
</tr><br />
<tr><br />
<td>Week 11</td><br />
<td>Financial Time Series. Using Decision Tree to Trade Stock. Building a Trading Strategy. Handling Time-Dependent Data in R. The Prediction Models.</td><br />
</tr><br />
<tr><br />
<td>Week 12</td><br />
<td>Hadoop. HDFS. MapReduce. Hive. Pig.</td><br />
</tr><br />
<tr><br />
<td>Week 13</td><br />
<td>Case Study: Hadoop</td><br />
</tr><br />
<tr><br />
<td>Week 14</td><br />
<td>Final Project Presentations</td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE590_Introduction_to_Knowledge_Engineering&diff=4998
FE590 Introduction to Knowledge Engineering
2018-02-21T22:01:23Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Thomas Lonon]]<br />
|Email = tlonon@stevens.edu<br />
|Phone = <br />
|Office = Altofer 301<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Thomas_Lonon.jpg<br />
|Office_Hour = Monday,Tuesday, & Thursday 2:00-3:00pm and by appointment<br />
<br />
|Classroom = <br />
BC221<br />
|Classtime = <br />
Thursday 06:15-08:45<br />
|Opening_Term = Fall On Campus, Fall Online, Spring On Campus, Spring Online<br />
<br />
|Course_Intro =<br />
This course provides an applied overview of both classical linear approaches to statistical learning and more modern statistical methods. The classical linear approaches will include logistic regression, linear discriminant analysis, k-means clustering, and nearest neighbors. The more modern approaches will include generalized additive models, decision trees, boosting, bagging, support vector machines, and others.<br />
<br />
|Outcomes = <br />
<br />
<br />
|Description = <br />
<br />
<br />
|Textbook = <br />
<p>Gareth James, Daniela Witten, Trevor Hastie, and Robert Tibshirani. An Introduction to Statistical Learning with Applications in R. Springer, 2014.</p><br />
<p>This book is available free from the author's web site at <a href="Gareth James, Daniela Witten, Trevor Hastie, and Robert Tibshirani. An Introduction to Statistical Learning with Applications in R. Springer, 2014. This book is available free from the author's web site at http:/www-bcf.usc.edu/~gareth/ISL/ISLR%20Fourth%20Printing.pdf">http://www-bcf.usc.edu/~gareth/ISL/ISLR%20Fourth%20Printing.pdf</a></p><br />
<br />
|Reading = <br />
<p>Trevor Hastie, Robert Tibshirani, and Jerome Friedman. The Elements of Statistical Learning: Data Mining, Inference, and Prediction. Second Edition., Springer (Tenth Printing) 2013.</p><br />
<p>This book is available free from the author's web site at <a href="http://statweb.stanford.edu/~tibs/ElemStatLearn/printings/ESLII_print10.pdf">http://statweb.stanford.edu/~tibs/ElemStatLearn/printings/ESLII_print10.pdf</a></p><br />
<br />
|GradingPolicy = <br />
<p>Grades will be based on a combination of quizzes and assignments.</p><br />
<p>1. Quizzes. There will be two multiple choice online quizzes.</p><br />
<p>2. Assignments. There will be four homework assignments in which students will write programs to solve problems related to statistical learning.</p><br />
<p>Weights.</p><br />
<p>In computing the course grade, each activity will be assigned a weight (subject to the instructor's discretion) as follows:</p><br />
<p>Item Weight</p><br />
<p>Quizzes 20%</p><br />
<p>Assignment 1 20%</p><br />
<p>Assignment 2 20%</p><br />
<p>Assignment 3 20%</p><br />
<p>Assignment 4 20%</p><br />
<p> </p><br />
<p>There are no "extra assignments" that students can do to raise their average outside of the ones assigned. There are no exceptions, don't even</p><br />
<p>bother coming to me and asking about extra work and the end of the semester, as I will only direct your attention to this part of the syllabus.</p> <br />
}}<br />
== Lecture Outline ==<br />
<p>Topics to be covered (Subject to Change)</p><br />
<p>1. Statistical Learning</p><br />
<p>Why to Estimate</p><br />
<p>How to Estimate</p><br />
<p>Supervised Versus Unsupervised Learning</p><br />
<p>Regression Versus Classification Problems</p><br />
<p>2. Assessing Model Accuracy</p><br />
<p>3. Linear Regression</p><br />
<p>Simple Linear Regression</p><br />
<p>Multiple Linear Regression</p><br />
<p>K-Nearest Neighbors</p><br />
<p>4. Classification</p><br />
<p>Logistic Regression</p><br />
<p>Linear Discriminant Analysis</p><br />
<p>Quadratic Discriminant Analysis</p><br />
<p>5. Resampling Methods</p><br />
<p>Bootstrap</p><br />
<p>Cross-Validation</p><br />
<p>6. Linear Model Selection and Regularization</p><br />
<p>Shrinkage Methods</p><br />
<p>Dimension Reduction Methods</p><br />
<p>Ridge Regression</p><br />
<p>Partial Least Squares</p><br />
<p>7. Moving Beyond Linearity</p><br />
<p>Polynomial Regression</p><br />
<p>Step Functions</p><br />
<p>Basis Functions</p><br />
<p>Regression Splines</p><br />
<p>Smoothing Splines</p><br />
<p>Generalized Additive Models</p><br />
<p>8. Decision Trees</p><br />
<p>Regression Trees</p><br />
<p>Classification Trees</p><br />
<p>Random Forests</p><br />
<p>Bagging</p><br />
<p>Boosting</p><br />
<p>9. Support Vector Machines</p><br />
<p>Maximal Margin Classier</p><br />
<p>Support Vector Classiers</p><br />
<p>10. Unsupervised Learning</p><br />
<p>Principal Component A</p></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE595_Financial_Systems_Technology&diff=4997
FE595 Financial Systems Technology
2018-02-21T22:01:19Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Peter Lin]]<br />
|Email = peter.lin@stevens.edu<br />
|Phone = <br />
|Office = Altorfer 304<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Lin_8024.jpg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
McLean 218A<br />
|Classtime = <br />
T 06:15-08:45PM<br />
|Opening_Term = Fall On Campus, Fall Online<br />
<br />
|Course_Intro =<br />
This course is designed for graduate students who took FE 610 and have a good grasp of understanding Probability and Stochastic Calculus. The objective is to understand Stochastic Differential Equations (SDE's) both from theoretical and practical perspective<br />
<br />
|Outcomes = <br />
<br />
<br />
|Description = <br />
<p>Topics include Ito calculus review, linear stochastic differential equations(SDE's), examples of solvable SDE's, weak and strong solutions, existence and uniqueness of strong solutions, Ito-Taylor expansions, SDE for Markov processes with jumps, Levy processes, forward and backward equations and the Feynman-Kac representation formula, and introduction to stochastic control. Applications are mostly from financial engineering but applications in areas such as population dynamics, energy, climatology and seismology may also be presented.</p><br />
<br />
|Textbook = <br />
<p>We will provide notes additional to the textbook material. The main text-book used is:</p><br />
<ul><br />
<li><br />
<h2>�Stochastic Di erential Equation, by Bernt �ksendal, 6th edition, 2010,ISBN-10: 3540047581, ISBN-13: 978-3540047582</h2><br />
</li><br />
<li><br />
<h2>In addition the following textbooks provide additional references:�Stochastic Calculus for Finance vol I and II, by Steven E. Shreve,Springer Finance, 2004, ISBN-13: 978-0387249681 (vol I) and 978-1441923110 (vol II) (used in FE610).</h2><br />
</li><br />
<li><br />
<h2>�Eckhard Platen and Nicola Bruti-Liberati, Numerical Solutions of Stochastic Differential Equations with Jumps in Finance,Springer 2010, ISBN:978-3-642-12057-2�</h2><br />
</li><br />
<li><br />
<h2>Stochastic Calculus and Financial Applications, by J. Michael Steele, Springer 2000, ISBN-10: 0387950168, ISBN-13: 978-0387950167�</h2><br />
</li><br />
<li><br />
<h2>Introduction to Stochastic Calculus With Applications by Fima C. Klebaner, , ISBN-10: 1848168322, ISBN-13: 978-1848168329�</h2><br />
</li><br />
<li><br />
<h2>Financial Calculus: An Introduction to Derivative Pricing by Martin Baxter, Andrew Rennie, 1996, ISBN-10: 0521552893, ISBN-13: 978-0521552899�</h2><br />
</li><br />
<li><br />
<h2>Introduction to the Mathematics of Financial Derivatives, by Salih N. Neftci, 2nd ed, Associated Press, 2000, ISBN 0125153929.�</h2><br />
</li><br />
<li><br />
<h2>Handbook of Probability, by I. Florescu and C. Tudor, ISBN: 978-0-470-64727-1, Oct. 2013. (for probability background)</h2><br />
</li><br />
<li><br />
<h2>�Probability and Stochastic Processes, by I. Florescu, ISBN: 978-0-470-62455-5, Oct. 2014. (for both Probability and Stochastic processes background</h2><br />
</li><br />
</ul><br />
<br />
|Reading = <br />
<br />
<br />
|GradingPolicy = <br />
<p>We will have several assignments throughout the course. We may have a midterm and/or final in the course. The percentage for all components will be announced and decided throughout the class</p> <br />
}}<br />
== Lecture Outline ==</div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE620_Pricing_and_Hedging&diff=4996
FE620 Pricing and Hedging
2018-02-21T22:01:11Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Jim Wang]]<br />
|Email = jwang4@stevens.edu<br />
|Phone = <br />
|Office = <br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Jimwang.jpg<br />
|Office_Hour = |Name2 = [[Dragos Bozdog]]<br />
|Email2 = dbozdog@stevens.edu<br />
|Phone2 = (201) 216 3527<br />
|Office2 = Babbio 429A<br />
|Photo_file2 = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Dragos_Bozdog.jpg<br />
|Office_Hour2 = <br />
<br />
|Classroom = <br />
<br />
|Classtime = <br />
<br />
|Opening_Term = Fall On Campus, Fall Online, Spring On Campus, Spring Online<br />
<br />
|Course_Intro =<br />
<br />
<br />
|Outcomes = <br />
<br />
<br />
|Description = <br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">This course deals with basic financial derivatives theory, arbitrage, hedging, and risk. Risk neutral pricing models using the Black-Scholes formulae and binomial trees are discussed in detail. The course covers derivative instruments and underlines including stocks, bonds, forwards, futures, swaps, and options. By the end of the course, students will have good knowledge of how these products work, how they are used, how they are priced, and how financial institutions hedge their risks when they trade the products. Incorrect pricing of an instrument will create arbitrage opportunities. Risky positions are managed by proper hedging. Students are required to discover these arbitrage or hedging opportunities and enter simulated trades in an Interactive Broker (IB) paper trading account. IB paper trading accounts will be created for each student at the beginning of the semester.</span></p><br />
<p> </p><br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">Prerequisite:</span></p><br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">Multivariable Calculus, FE 610, and programming in C++, or Java</span></p><br />
<br />
|Textbook = <br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">John Hull. Options, Futures, and Other Derivatives. 2012. Eighth Edition. Prentice Hall. ISBN: 978-0132164948</span></p><br />
<br />
|Reading = <br />
<br />
<br />
|GradingPolicy = <br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">Please submit files in PDF format (using PrimoPDF, or deskPDF)</p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">Homework Assignments (50%) A total of 10 assignments (week 1-10) with each assignment worth 5 points. Submit previous session’s homework before the session start (deadline), solution will be discussed in class and published after the deadline. Assignment 2-10 on Hull’s book (see schedule). Assignment 1: As you embark on a career in finance, it is important to reflect the value of finance. Search title “It is a wonderful life” in Youtube and watch this 130 minutes film. The American Film Institute ranks this film as No. 1 most inspirational American films ever made. Write a few short paragraphs discussing the inspirations you learned from watching this film.</p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">Class Participation (5%) You will earn full grade (5 points) if you participating in asking or answering questions in class or by email. IB Arbitrage Assignments (45%) Three arbitrage or hedging trades entered through IB paper account, each worth 15 points. You are allowed to use the following types of instrument (stock, bonds, warrants, ETF, options, futures, currency, forwards, swaps) to construct 3 trades (each with 2 legs minimum). Trades entered can be left open or be closed by summary submission time. You are allowed to repeatedly manipulate positions once the trade is entered (open, increase, decrease, close, or reverse your positions, the repeating sequence is considered as one trade). You will have a chance to discuss your trade in detail through Session 11-14. Trading summary to be submitted at the end of week 14. Please discuss 1) the reasons you enter the trade, 2) what worked, 3) what did not work, 4) how to improve this trade. Start to experiment with your trades early will allow you 1) to deploy capital ($1 million) more effectively; 2) to have more time to monitor performance; 3) to test more ideas for the final report. Please contact ibstudenttradinglab@interactivebrokers.com directly if you do not receive an invite by week 4</p><br />
<p> </p> <br />
}}<br />
== Lecture Outline ==<br />
<table class="wikitable" style="font-size: 12.8px; margin: 1em 1em 1em 0px; background-color: #f9f9f9; border: 1px solid #aaaaaa; border-collapse: collapse; color: #000000; font-family: sans-serif;" border="1"><br />
<br />
<tr><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">Week</th><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">Topic</th><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">Homework</th><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">1</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Introduction; Chapter 1</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">It is a wonderful life: Inspiration</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">2</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Futures markets, Hedging Strategies Using Futures, Chapter 2 &amp; 3</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Hull 8th Ed 3.28 (7th Ed 3.25)</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">3</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Interest rates, Chapter 4</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Hull 8th Ed 4.32 (7th Ed 4.27)</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">4</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Forward and Futures Prices, Interest Rate Futures Chapter 5 &amp; 6</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Hull 8th Ed 6.28 (7th Ed 6.25)</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">5</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Swaps, Asset Backed Securities, Chapter 7 and 8</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Hull 8th Ed 7.23 (7th Ed 7.21)</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">6</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Options Markets, Properties of Options, Chapters 9 and 10</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Hull 8th Ed 9.25 (7th Ed 8.25)</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">7</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Trading Strategies and Binomial Trees, Chapter 11 and 12</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Hull 8th Ed 12.20 (7th Ed 11.20)</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">8</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">BSM Model, Chapter 14 (excl 14.6), Employee Stock Options, Ch 15</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Hull 8th Ed 14.31 (7th Ed 13.31)</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">9</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Options on Stock Indices, Currencies, and Futures, Chapters 16 &amp; 17</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Hull 8th Ed 17.23 (7th Ed 16.23)</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">10</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">The Greeks, Volatility Smiles, Chapters 18 &amp; 19</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Hull 8th Ed 18.25 (7th Ed 17.25)</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">11</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Value at Risk, Chapter 21</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">IB Assignment 1</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">12</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Credit Risk, Chapter 23</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">IBA 2, trades discussion</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">13</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Credit, Energy and Commodity Derivatives, Chapters 24 &amp; 33</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">IBA 3, trades discussion</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">14</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Derivative Mishaps, Chapter 35, Review of course</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Summary report submission</td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE621_Computational_Methods_in_Finance&diff=4995
FE621 Computational Methods in Finance
2018-02-21T22:01:07Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Ionut Florescu]]<br />
|Email = ionut.florescu@stevens.edu<br />
|Phone = (201) 516 5452<br />
|Office = Babbio 540 <br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Ionut_Florescu.jpg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
Altorfer Building 501<br />
|Classtime = <br />
W 06:15-08:45PM <br />
|Opening_Term = Fall On Campus, Fall Online, Spring On Campus, Spring Online<br />
<br />
|Course_Intro =<br />
The main goal of a student enrolled in FE621 is to obtain essential computational tools used in the industry by modern financial quantitative analysts. The students are to become familiar with such methods as binomial/trinomial tree method, lattice methods, finite difference methods for PDE, Monte Carlo simulation of option prices, discretization schemes and numerical simulation of stochastic differential equations, variance reduction techniques for Monte Carlo simulation, numerical methods for interest rate derivatives etc. The purpose is to learn to apply the results to forecasting, asset pricing, hedging, risk assessment, pricing of bonds and swaps and European/American options on them, as well as other financial problems.<br />
<br />
|Outcomes = <br />
<br />
<br />
|Description = <br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">The main goal of a student enrolled in FE621 is to obtain essential computational tools used in the industry by modern financial quantitative analysts. The students are to become familiar with such methods as binomial/trinomial tree method, lattice methods, finite difference methods for PDE, Monte Carlo simulation of option prices, discretization schemes and numerical simulation of stochastic differential equations, variance reduction techniques for Monte Carlo simulation, numerical methods for interest rate derivatives etc. The purpose is to learn to apply the results to forecasting, asset pricing, hedging, risk assessment, pricing of bonds and swaps and European/American options on them, as well as other financial problems.</span></p><br />
<br />
|Textbook = <br />
<div style="color: #000000; font-family: sans-serif; font-size: 14px;"><br />
<ul style="line-height: 1.5em; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII=');"><br />
<li style="margin-bottom: 0.1em;">Implementing Derivatives Models, by Clewlow and Strickland, Wiley, 1998. ISBN: 0471966517</li><br />
</ul><br />
</div><br />
<div style="color: #000000; font-family: sans-serif; font-size: 14px;"><br />
<ul style="line-height: 1.5em; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII=');"><br />
<li style="margin-bottom: 0.1em;">Options, Futures and Other Derivatives, by John C. Hull, Prentice Hall, 2008, 7th edition, ISBN: 0136015867</li><br />
</ul><br />
</div><br />
<br />
|Reading = <br />
<div style="color: #000000; font-family: sans-serif; font-size: 14px;"><br />
<ul style="line-height: 1.5em; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII=');"><br />
<li style="margin-bottom: 0.1em;">"Monte Carlo Method in Financial Engineering” by Paul Glasserman, 1st edition, Springer, 2003, ISBN: 9780387004518</li><br />
</ul><br />
</div><br />
<div style="color: #000000; font-family: sans-serif; font-size: 14px;"><br />
<ul style="line-height: 1.5em; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII=');"><br />
<li style="margin-bottom: 0.1em;">"An Introduction to Computational Finance Without Agonizing Pain” by Peter Forsyth, available at <a class="external free" style="color: #663366; background: url('//upload.wikimedia.org/wikipedia/commons/2/23/Icons-mini-file_acrobat.gif') right center no-repeat; padding-right: 18px;" href="https://cs.uwaterloo.ca/~paforsyt/agon.pdf" target="_blank" rel="nofollow">https://cs.uwaterloo.ca/~paforsyt/agon.pdf</a>.</li><br />
</ul><br />
</div><br />
<div style="color: #000000; font-family: sans-serif; font-size: 14px;"><br />
<ul style="line-height: 1.5em; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII=');"><br />
<li style="margin-bottom: 0.1em;">"An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations” by Desmond Higham, available at<a class="external free" style="color: #663366; background: url('//upload.wikimedia.org/wikipedia/commons/2/23/Icons-mini-file_acrobat.gif') right center no-repeat; padding-right: 18px;" href="http://www.caam.rice.edu/~cox/stoch/dhigham.pdf" target="_blank" rel="nofollow">http://www.caam.rice.edu/~cox/stoch/dhigham.pdf</a>.</li><br />
</ul><br />
</div><br />
<div style="color: #000000; font-family: sans-serif; font-size: 14px;"><br />
<ul style="line-height: 1.5em; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII=');"><br />
<li style="margin-bottom: 0.1em;">Handbook of Probability, by Ionut Florescu and Cyprian Tudor, 1st edition, Wiley, 2013, ISBN: 0470647272.</li><br />
</ul><br />
</div><br />
<br />
|GradingPolicy = <br />
<ul style="line-height: 1.5em; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII='); color: #000000; font-family: sans-serif; font-size: 12.8px;"><br />
<li style="margin-bottom: 0.1em;">The final grade will be determined upon the student’s performance in the four homework assignments and a Midterm scheduled on Week 12.</li><br />
</ul><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">The weights are: Homework(each weighted equally toward your final grade): 70%; Midterm: 30%.</p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">You will have about 3 weeks to finish each assignment. The work tends to be programming intensive so an early start is absolutely necessary especially if there are gaps in your programming knowledge.</p><br />
<ul style="line-height: 1.5em; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII='); color: #000000; font-family: sans-serif; font-size: 12.8px;"><br />
<li style="margin-bottom: 0.1em;">Only use the “.pdf” format for submitting assignment files. You should be able to transform any document into a pdf file. You can use Adobe acrobat - should be free to Stevens students as far as I know (please call the students help desk), or a simple alternative is to use a pdf printer driver. I write all my documents in LATEX, and that typesetting program produces pdf files. A simple alternative (using any typesetting program) would be to search on Google for a driver that would print to a pdf file. Such drivers are generally free.</li><br />
</ul><br />
<ul style="line-height: 1.5em; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII='); color: #000000; font-family: sans-serif; font-size: 12.8px;"><br />
<li style="margin-bottom: 0.1em;">Late assignments will not be accepted under any circumstances without prior notice and permission of the instructor. If outside circumstances are affecting your ability to perform in the course, you must contact me before you fall behind.</li><br />
</ul> <br />
}}<br />
== Lecture Outline ==<br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">Please note that this schedule is a tentative plan for the semester. As we move through the semester the schedule outlined here is subject to change.</p><br />
<table class="wikitable" style="font-size: 12.8px; margin: 1em 1em 1em 0px; background-color: #f9f9f9; border: 1px solid #aaaaaa; border-collapse: collapse; color: #000000; font-family: sans-serif;"><br />
<br />
<tr><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">Week</th><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">Topic(s)</th><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">References</th><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">week 1</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Intro to Black-Scholes model; Review of stochastic calculus</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Notes, Ch.1 in [1]; Ch.13 in [2]</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">week 2 &amp; 3</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">The Binomial tree Model; Trinomial tree model</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Ch.2 and Ch.3.2 in [1]; Ch.11 and Ch.19 in [2]</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">week 4 &amp; 5</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Finite difference methods.; Finite difference methods (contd).</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">1st HW due Ch. 3.3, 3.4, 3.5 in [1]; Ch.3.6, 3.7 and 3.8 in [1].</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">week 6 &amp; 7</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Monte Carlo Methods; MC Methods (advanced); Review of numerical methods</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Ch. 4.2, 4.3 and 4.11 in [1]; Ch. 4.4-4.10 in [1]; 2nd HW due</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">week 8 &amp; 9</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Value at Risk (VaR); Algorithms for Exotic Options</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Ch. 20 in [2]; Ch. 24 in [2]</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">week 10 &amp; 11</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Interest rate models; Short-rate models</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">3rd HW due Ch. 6 in [1] and Ch. 28 in [2]; Ch. 7 in [1] and Ch. 30 in [2]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">week 12 &amp; 13 &amp; 14</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Midterm; Implementing Interest Rate Models; Implementing Interest Rate Models (contd)</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Ch. 8 in [1]; 4th HW due, Ch. 9 in [1]</td><br />
</tr><br />
<br />
</table><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;"><b>References for lecture outline</b></p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">[1] Implementing Derivatives Models, by Clewlow and Strickland, Wiley, 1998. ISBN: 0471966517</p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">[2] Options, Futures and Other Derivatives, by John C. Hull, Prentice Hall, 2008, 7th edition, ISBN: 0136015867</p></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE625_Emerging_Markets:_Risks_and_Models&diff=4994
FE625 Emerging Markets: Risks and Models
2018-02-21T22:01:03Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Juan Eroles]]<br />
|Email = jeroles@stevens.edu<br />
|Phone = <br />
|Office = <br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Juan_Eroles.jpg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
BC532B<br />
|Classtime = <br />
T 06:15-08:45PM <br />
|Opening_Term = Fall On Campus, Spring On Campus<br />
<br />
|Course_Intro =<br />
<br />
<br />
|Outcomes = <br />
<br />
<br />
|Description = <br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">This course covers the basics of Emerging Markets instruments, models, risks, hedging and trading practices. Emerging Markets have seen a dramatic increase in volume, especially since the latest crisis in developed markets. The student should develop a deep understanding of the main differences between Developed Markets and Emerging Markets risk and trading. Many of the unique attributes and models in Emerging Markets have now been adopted by Developed Markets since the 2008 crisis, given students an edge in understanding the latest trends in the markets. Main topics to be covered include: funding in EM; XC basis markets; OIS and local collateralization; Credit Value Added (CVA); Extinguishable XC swaps; Inflation indexes and inflation currencies; Capital Constraints, Convertibility and Transferability.</p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">There will be an emphasis on market conventions and practitioners' experiences. One of the main objectives will be to have hands on approach into managing the valuation, risks, proper hedges and dynamics of a real book. To this end the student will be using as a starting point a spreadsheet that simulates a system for managing a book of FX contracts in the real world. The student will then be asked to develop the spreadsheet system to include different types of contracts, record contracts, value them given a change in the market, explain the changes in the valuations and hedge the book accordingly.</p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">Geographically the course will be focused on Latin America, China (both mainland and Hong Kong) and, to some extent, Russia. The asset classes will cover: FX, Interest Rates and Credit.</p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">The course will be evaluated with several homework projects, one or more final homework projects and class interactions.</p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">Many of the ideas and concepts discussed are the most recent models and practices in the markets, just developed a couple of years ago. As such they are not yet standard and the bibliography is very limited. The course will therefore be based on lecture notes. As a reference a couple of standard books is listed below.</p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">At the end of the course we usually have 3 to 4 special speakers for a 1hr talk on trends and practitioners view on current topics. This gives a great opportunity to students to interact with market makers and direct contact to people in the industry.</p><br />
<br />
|Textbook = <br />
<div style="color: #000000; font-family: sans-serif; font-size: 14px;"><br />
<ul style="line-height: 1.5em; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII=');"><br />
<li style="margin-bottom: 0.1em;">Investing in Emerging Markets Fixed Income Markets, Frank J. Fabozzi, 2002</li><br />
</ul><br />
</div><br />
<div style="color: #000000; font-family: sans-serif; font-size: 14px;"><br />
<ul style="line-height: 1.5em; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII=');"><br />
<li style="margin-bottom: 0.1em;">Counterparty Credit Risk and Credit Value Adjustment, Jon Gregory, 2012, Wiley (2nd edition)</li><br />
</ul><br />
</div><br />
<div style="color: #000000; font-family: sans-serif; font-size: 14px;"><br />
<ul style="line-height: 1.5em; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII=');"><br />
<li style="margin-bottom: 0.1em;">Dynamic Models and their Applications in Emerging Markets, Sima Montamen-Samdian,, 2002</li><br />
</ul><br />
</div><br />
<br />
|Reading = <br />
<ul style="line-height: 1.5em; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII='); color: #000000; font-family: sans-serif; font-size: 14px;"><br />
<li style="margin-bottom: 0.1em;">Published papers and working notes</li><br />
</ul><br />
<br />
|GradingPolicy = <br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">Homework (40%) Class Interaction (20%) Final Projects (2 to 3) (40%)</span></p> <br />
}}<br />
== Lecture Outline ==<br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">Please note that this schedule is a tentative plan for the semester. As we move through the semester the schedule outlined here is subject to change.</p><br />
<table class="wikitable" style="font-size: 12.8px; margin: 1em 1em 1em 0px; background-color: #f9f9f9; border: 1px solid #aaaaaa; border-collapse: collapse; color: #000000; font-family: sans-serif;"><br />
<br />
<tr><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">Week</th><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">Topic(s)</th><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">week 1</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">General Introduction to Emerging Markets. Definitions, volumes, geography, types and brief history. Cycles of growth and crisis. Correlation between countries and regions</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Week 2</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">Fixed income instruments overview I : Interest rates swaps, FX forwards. Introduction, definitions, trading properties (liquidity, conventions, etc), risks and pricing.</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Week 3</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">Fixed income instruments overview II : credit default swaps, swaptions, FX options. Introduction, definitions, trading properties (liquidity, conventions, etc), risks and pricing.</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Week 4</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">Future expected mark to market. Future expected credit exposure.</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Week 5</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">Introduction to capital constraints as a form of economic policy. Convertibility, transferability and default risks. Financial instruments designed for this risk, their modeling and valuation</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Week 6</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">Cross Currency Swaps: introduction, definition, use as funding instruments, cross currency basis swaps and risks</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Week 7</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">Inflation instruments in Emerging Markets. Inflation currencies and inflation indexes. Inflation Swaps: modeling, pricing an valuation. Deliverable currencies vs non-deliverable currencies.</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Week 8</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">Credit Risk for Emerging Markets. Country ratings and local ratings. Country risk. Bonds as as hybrid instruments (IR risk + Credit risk)</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Week 9</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">Hybrid instruments: Quanto CDS, extinguishable swaps and CVA. Call/Put parity between CVA and extinguishable swaps.</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Week 10</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">Midterm Exam</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Week 11</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">Class I: 4 Factor Model with FX jumps. Model motivation and derivation. Presenting the analytical solution</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Week 12</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">Class II: 4 Factor Model with FX jumps. Getting the Analytical solution. Analyzing the model through its analytical solutions. Limits and behaviors</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Week 13</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">Funding and collateralization of derivatives I: Introduction to CSA and ISDA terms. OIS discounting.</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Week 14</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">Funding and collateralization of derivatives II: Determining the value of the CSA Thresholds. Netting and Set-off. Cheapest to Deliver (CTD).</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Week 15</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">Final Exam</p><br />
</td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE630_Portfolio_Theory_and_Applications&diff=4993
FE630 Portfolio Theory and Applications
2018-02-21T22:00:58Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Papa Ndiaye]]<br />
|Email = Papa.Ndiaye@stevens.edu<br />
|Phone = <br />
|Office = <br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Ndiaye_9199.jpg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
Morton Complex 105<br />
|Classtime = <br />
M 06:15-08:45PM <br />
|Opening_Term = Fall On Campus, Fall Online, Spring On Campus, Spring Online<br />
<br />
|Course_Intro =<br />
This course is an introduction to quantitative portfolio theory, practice, optimization, and management. It addresses the investor choice, market opportunities, optimal portfolio selection, security covariance and return models, performance analysis, and return attribution.<br />
<br />
|Outcomes = <br />
<br />
<br />
|Description = <br />
<br />
<br />
|Textbook = <br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 12.8px;">Edwin J. Elton, Martin J. Gruber, Stephen J. Brown, and William N. Goetzmann. Modern Portfolio Theory and Investment Analysis. 9th Edition. Wiley, 2014. (ISBN: 1118469941)</span></p><br />
<br />
|Reading = <br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 12.8px;">Richard C. Grinold and Ronald N. Kahn, Active Portfolio Management, 2e, McGraw Hill, 1999. (ISBN: 0070248826).</span></p><br />
<br />
|GradingPolicy = <br />
<table class="wikitable" style="font-size: 12.8px; margin: 1em 1em 1em 0px; background-color: #f9f9f9; border: 1px solid #aaaaaa; border-collapse: collapse; color: #000000; font-family: sans-serif;"><br />
<tbody><br />
<tr><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;"> </th><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">FE‐630‐A</th><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">FE‐630‐WS</th><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Attendance and Quizzes</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">10%</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">-</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Assignments</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">20%</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">30%</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Midterm Exam</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">20%</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">20%</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Final Exam</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">20%</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">20%</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Project</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">30%</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">30%<br /><br /></td><br />
</tr><br />
</tbody><br />
</table> <br />
}}<br />
== Lecture Outline ==<br />
<table class="wikitable" style="font-size: 12.8px; margin: 1em 1em 1em 0px; background-color: #f9f9f9; border: 1px solid #aaaaaa; border-collapse: collapse; color: #000000; font-family: sans-serif;"><br />
<br />
<tr><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">Subject</th><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">Topics</th><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">One‐Period Utility Analysis</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Introduction. Basic ideas of investor preferences. Indifference curves. VonNeumann and Morgenstern expected utility hypothesis. Utility of wealth. Basic assumptions about utility. Certainty‐equivalent wealth. Absolute and Relative Risk Aversion. Utility functions, and benefits of quadratic utility functions.</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">The Opportunity Set</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">What the market makes available to the investor. Expressions for expected return and risk. Portfolio weights. Combine securities together to the limit of our budget to create certain attainable regions of risk‐return space. Risk reduction. Diversifiable and non‐diversifiable risk. The Markowitz bullet.</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Efficient Frontier</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Selling short: motivation, mechanics, benefits, risks. Efficient frontier with short sales allowed. Efficient frontier with a riskless security. Separation theorems. Lending and borrowing at different rates. Calculating the efficient frontier. Numerical examples.</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Security Return Models</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Correlation structure of security returns. Covariance models. Single index models. Estimating single‐index model parameters. Accuracy of estimates based on historical data. Multi‐Index Models.</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Simplified Models</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">The constant correlation model. Using the Elton‐Gruber‐Padberg algorithm.Using Sharpe's method.</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Inequality Constraints</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Kuhn‐Tucker conditions.</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Midterm Exam</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">CAPM and APT</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Equilibrium models. Underlying Assumptions. Intuition. Price of risk. Price of time. The security market line. Derivation of the CAPM.</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Active Portfolios</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Active and excess return. Active weights. Information ratio. Information coecient. The fundamental law of active management. Gambling examples. Additivity of IRs. Jorion'sMethod.</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Bond Portfolios</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Active and Passive Bond portfolio management. Exact matching of liabilities and incoming cash flows. Sensitivity to interest rate risk. Duration. Portfolio construction to mitigate interest rate risk sensitivity.</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Analysis</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Performance Measurement and Attribution.</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Student Project Presentations</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Final Exam</td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE635_Financial_Enterprise_Risk_Engineering&diff=4992
FE635 Financial Enterprise Risk Engineering
2018-02-21T22:00:54Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Rupak Chatterjee]]<br />
|Email = Rupak.Chatterjee@stevens.edu<br />
|Phone = (201) 216 3393<br />
|Office = Babbio 545<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Rupak_Chatterjee.jpg<br />
|Office_Hour = R 1:00-3:00PM<br />
<br />
|Classroom = <br />
M105<br />
|Classtime = <br />
W 03:00-05:30PM<br />
|Opening_Term = Spring On Campus<br />
<br />
|Course_Intro =<br />
Risk Management Case Studies<br />
Strategies for Quantitative Investing<br />
Optimal Hedging Monte Carlo<br />
Credit Derivatives<br />
Basel II, Basel III, and CVA<br />
Extreme Value Theory<br />
<br />
<br />
|Outcomes = <br />
<br />
<br />
|Description = <br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">This course is largely a continuation of FE 535. The course begins with Risk management case studies. It continues with strategies for quantitative investing. Credit Derivatives will be introduced along with the pricing models using Hazard rates and Copulus. Modern regulatory theory using Basel II, Basel III, and CVA as a starting point will be analyzed. Finally, the study of Fat-tailed distributions such as Pareto and those coming from Extreme Value theory will be discussed.</span></p><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Tahoma, sans-serif;">Prerequisite(s): FE 535</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"><strong>COURSE REQUIREMENTS</strong></span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;">All the homework assignments require the use of Excel with the following properties:</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;">1) Functions:</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"> a. Offset()</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"> b. Rand()</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"> c. Norminv()</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"> d. Skew(), Kurt(), Average(), Stdev(), Frequency()</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"> e. Gammaln()</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;">2) Data Analysis Function: Histogram</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"><strong>Attention Apple Users</strong>: Even though you may have Excel, the above functionality does not come with all Apple versions of Excel so you better check to see what your Excel provides.</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"> <strong> Attendance</strong> Required</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"> <strong>Participation</strong> Required</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"> <strong>Homework</strong> Mostly in Excel.</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"> <strong>Exams</strong> In-class and closed book</span></p><br />
<p style="font-size: 12.16px;"> </p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;">Homework assignments must be uploaded to the Canvas shell of the course.</span></p><br />
<p style="font-size: 12.16px;"> </p><br />
<br />
|Textbook = <br />
<p><em style="font-family: Arial, sans-serif; font-size: 13.3333px;">Practical Methods of Financial Engineering and Risk Management</em><span style="font-family: Arial, sans-serif; font-size: 13.3333px;">, Rupak Chatterjee, Apress-Springer, 2014.</span></p><br />
<br />
|Reading = <br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"><em>Risk Management and Financial Institutions,</em> John Hull, John Wiley &amp; Sons, 2012.</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"><em>Monte Carlo Methods in Financial Engineering,</em> Paul Glasserman, Springer-Verlag, 2004.</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"><em>Fixed Income Securities</em>, 3rd Edition, Bruce Tuckman &amp; Angel Serrat, Wiley Finance, 2012.</span></p><br />
<br />
|GradingPolicy = <br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; font-family: Arial, sans-serif;">Gareds will be based on:</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; font-family: Arial, sans-serif;">20% Homeworks</span></p><br />
<p style="font-size: 12.16px;">30% Midterm</p><br />
<p style="font-size: 12.16px;">50% Final Exam</p><br />
<h2><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"><strong>EXAM ROOM CONDITIONS</strong></span></h2><br />
<h2><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">The following procedures apply to exams for this course. As the instructor, I reserve the right to modify </span><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">any conditions set forth below by printing revised Exam Room Conditions on the exam.</span></h2><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">1. </span>Students may <strong>not</strong> use the following devices during exams. Any electronic devices that are not mentioned in the list below are also <strong>not</strong> permitted.</p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Laptops</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Cell Phones</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Tablets</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Smart Watches</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Google Glass</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Other</span></p><br />
<h2><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">2. Students may <strong>not</strong> use the following materials during exams. Any materials that are <strong>not</strong> mentioned in the list below are also not permitted.</span></h2><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Handwritten Notes</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Typed Notes </span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Textbooks </span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Readings</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Other</span></p> <br />
}}<br />
== Lecture Outline ==<br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;"> </p><br />
<table style="height: 196px; width: 669px;"><br />
<br />
<tr><br />
<td style="width: 52px; text-align: center;">Date</td><br />
<td style="width: 372px; text-align: center;">Topic</td><br />
<td style="width: 233px; text-align: center;">Homework</td><br />
</tr><br />
<tr><br />
<td style="width: 52px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; line-height: 107%; font-family: Tahoma, sans-serif;">8/30</span></p><br />
</td><br />
<td style="width: 372px;">Risk for AMC</td><br />
<td style="width: 233px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 52px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">9/6 </span></p><br />
</td><br />
<td style="width: 372px;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Chapter 4: Statistical Arbitrage </span></td><br />
<td style="width: 233px;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">HWK 4.5 Volume Adj for Pairs Trading</span></td><br />
</tr><br />
<tr><br />
<td style="width: 52px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">9/13</span></p><br />
</td><br />
<td style="width: 372px;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Chapter 8: Power Laws and Extreme Value Theory</span></td><br />
<td style="width: 233px;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Power Law Extrapolation</span></td><br />
</tr><br />
<tr><br />
<td style="width: 52px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">9/20</span></p><br />
</td><br />
<td style="width: 372px;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Chapter 8: Power Laws and Extreme Value Theory </span></td><br />
<td style="width: 233px;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">HWK 8.1. Power Law MC</span></td><br />
</tr><br />
<tr><br />
<td style="width: 52px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">9/27 </span></p><br />
</td><br />
<td style="width: 372px;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Chapter 6: Introduction to Credit Derivatives</span></td><br />
<td style="width: 233px;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">HWK 6.1: Hazard Rates</span></td><br />
</tr><br />
<tr><br />
<td style="width: 52px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">10/4 </span></p><br />
</td><br />
<td style="width: 372px;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Chapter 6: Introduction to Credit Derivatives </span></td><br />
<td style="width: 233px;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">HWK 6.2: Upfront Payments</span></td><br />
</tr><br />
<tr><br />
<td style="width: 52px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">10/11 </span></p><br />
</td><br />
<td style="width: 372px;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Chapter 6: Introduction to Credit Derivatives</span></td><br />
<td style="width: 233px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 52px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">10/18</span></p><br />
</td><br />
<td style="width: 372px;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Midterm</span></td><br />
<td style="width: 233px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 52px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">10/25</span></p><br />
</td><br />
<td style="width: 372px;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Chapter 6: Introduction to Credit Derivatives</span></td><br />
<td style="width: 233px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 52px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">11/1</span></p><br />
</td><br />
<td style="width: 372px;"><span style="font-size: 10pt; line-height: 107%; font-family: Tahoma, sans-serif;">Chapter 7: Risk Types, CVA, Basel III, and OIS Discounting </span></td><br />
<td style="width: 233px;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">HWK 6.3 Correlated Normals</span></td><br />
</tr><br />
<tr><br />
<td style="width: 52px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">11/8</span></p><br />
</td><br />
<td style="width: 372px;"><span style="font-size: 10pt; line-height: 107%; font-family: Tahoma, sans-serif;">Chapter 7: Risk Types, CVA, Basel III, and OIS Discounting</span></td><br />
<td style="width: 233px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 52px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">11/15</span></p><br />
</td><br />
<td style="width: 372px;"><span style="font-size: 10pt; line-height: 107%; font-family: Tahoma, sans-serif;">Chapter 7: Risk Types, CVA, Basel III, and OIS Discounting</span></td><br />
<td style="width: 233px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 52px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">11/29 </span></p><br />
</td><br />
<td style="width: 372px;"><span style="font-family: Tahoma, sans-serif; font-size: 13.3333px;">Chapter 7: Risk Types, CVA, Basel III, and OIS Discounting</span></td><br />
<td style="width: 233px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 52px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">12/6</span></p><br />
</td><br />
<td style="width: 372px;"><span style="font-family: Tahoma, sans-serif; font-size: 13.3333px;">Chapter 7: Risk Types, CVA, Basel III, and OIS Discounting</span></td><br />
<td style="width: 233px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 52px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">(12/13)</span></p><br />
</td><br />
<td style="width: 372px;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Final Exam (not yet confirmed)</span></td><br />
<td style="width: 233px;"> </td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE655_Systemic_Risk_and_Financial_Regulation&diff=4991
FE655 Systemic Risk and Financial Regulation
2018-02-21T22:00:50Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
<br />
<br />
|Classroom = <br />
<br />
|Classtime = <br />
<br />
|Opening_Term = <br />
<br />
|Course_Intro =<br />
<br />
<br />
|Outcomes = <br />
<br />
<br />
|Description = <br />
<br />
<br />
|Textbook = <br />
<br />
<br />
|Reading = <br />
<br />
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|GradingPolicy = <br />
<br />
}}<br />
== Lecture Outline ==</div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE670_Algorithmic_Trading_Strategies&diff=4990
FE670 Algorithmic Trading Strategies
2018-02-21T22:00:47Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Steve Yang]]<br />
|Email = steve.yang@stevens.edu<br />
|Phone = (201) 216 3394<br />
|Office = Babbio 536<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Yang_4218-Edit.jpg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
Babbio Center: Hanlon Financial Systems Lab<br />
|Classtime = <br />
Thursday 03:00-05:30PM<br />
|Opening_Term = Fall On Campus, Spring On Campus<br />
<br />
|Course_Intro =<br />
<br />
<br />
|Outcomes = <br />
<br />
<br />
|Description = <br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">This course investigates methods implemented in multiple quantitative trading strategies with emphasis on automated trading and quantitative finance based approaches to enhance the trade-decision making mechanism. The course provides a comprehensive view of the algorithmic trading paradigm and some of the key quantitative finance foundations of these trading strategies. Topics explore markets, financial modeling and its pitfalls, factor model based strategies, portfolio optimization strategies, and order execution strategies. The data mining and machine learning based trading strategies are also introduced, and these strategies include, but not limited to, Bayesian method, weak classifier method, boosting and general meta-algorithmic emerging methods.</span></p><br />
<br />
|Textbook = <br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 12.8px;">Frank J. Fabozzi, Sergio M. Focardi, and Petter N. Kolm, Quantitative Equity Investing: Techniques and Strategies (Wiley, 2010).</span></p><br />
<br />
|Reading = <br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 12.8px;">Barry Johnson, Algorithmic Trading &amp; DMA, 4Myeloma Press London, 2010.</span></p><br />
<br />
|GradingPolicy = <br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">Assignments - 30% Final project - 30% Midterm exam - 30% Paper reviews - 10% Total Grade - 100%</span></p><br />
<p> </p><br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">You need to form a project team with 3-4 people at most. You will pick a topic related to the course content, and an one-page project proposal needs to be submitted right after the midterm. If you do it right, this can be an immensely satisfying experience. You will turn in this project - I don't want the computer output, but descriptions of the results IN YOUR OWN WORDS - 3 single spaced pages, including plots, at most. We will talk more about this as the semester proceeds. You will each give a brief presentation on your project to the class, during the last week - Attendance is MANDATORY at the presentations - Dec 05(tentatively)!!!</span></p><br />
<p> </p><br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">Attendance will be taken randomly (e.g., 6-7 times during the semester) and will determine "which direction" the resulting grade will “fall”, for those grades which are borderline (e.g., between B+ or A-).</span></p> <br />
}}<br />
== Lecture Outline ==<br />
<table class="wikitable" style="font-size: 12.8px; margin: 1em 1em 1em 0px; background-color: #f9f9f9; border: 1px solid #aaaaaa; border-collapse: collapse; color: #000000; font-family: sans-serif;"><br />
<br />
<tr><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">Week</th><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">Topic(s)</th><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">Reading(s)</th><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">HW</th><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">1</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">An overview of trading and markets</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Barry Johnson [1,2,3]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">2</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Common Pitfalls in financial Modeling</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Frank J. Fabozzi[4]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">HW1</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">3</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Factor models and their estimation</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Frank J. Fabozzi[5]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">4</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Factor-based trading strategies</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Frank J. Fabozzi[6,7]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">5</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Portfolio optimization &amp; Black-litterman model</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Frank J. Fabozzi[8,9]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">HW2</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">6</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Robust portfolio optimiaztion</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Frank J. Fabozzi[10]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">7</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Transaction costs &amp; trad execution</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Frank J. Fabozzi[11]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">HW3</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">8</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Transaction costs &amp; optimal strategies</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Barry Johnson [7,9]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Exam I</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">9</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Order placement &amp; execution tactics</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Barry Johnson [8,9]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Project proposal due</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">10</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Enhancing trading strategies</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Barry Johnson [10]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">11</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Pattern recognition models: Bayesian networks, hidden markov models</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Academic papers</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">12</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Pattern recognition models: decision trees, boosting, Bagging &amp; Random forests</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Academic papers</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">HW4</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">13</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Pattern recognition models: support vector machine &amp; reinforcement learning, switching experts</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Academic papers</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">14</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Project Presentation</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Project Report due</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">15</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Final Exam</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">EXAM-II<br /><br /></td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE680_Advanced_Derivatives&diff=4989
FE680 Advanced Derivatives
2018-02-21T22:00:43Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Cristian Pasarica ]]<br />
|Email = Cristian.Pasarica@jpmorgan.com<br />
|Phone = <br />
|Office = <br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Cristian_Pasarica.jpg<br />
|Office_Hour = By appointment|Name2 = [[Dragos Bozdog]]<br />
|Email2 = dbozdog@stevens.edu<br />
|Phone2 = (201) 216 3527<br />
|Office2 = Babbio 429A<br />
|Photo_file2 = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Dragos_Bozdog.jpg<br />
|Office_Hour2 = By appointment<br />
<br />
|Classroom = <br />
BC310 & BC532B<br />
|Classtime = <br />
R 06:15-08:45PM & F 10:00-12:30PM<br />
|Opening_Term = Fall On Campus, Fall Online, Spring On Campus, Spring Online, Summer Online<br />
<br />
|Course_Intro =<br />
<br />
<br />
|Outcomes = <br />
<br />
<br />
|Description = <br />
<p>This course will address practical and theoretical issues for interest rate models, credit models, and hybrid instruments.</p><br />
<p>In the first part of the course we will discuss the methodology and principles behind Interest rate models: Hull White , HJM, Markovian HJM models. Mortgage derivatives and prepayment models will be discussed as an application of the interest rates models.</p><br />
<p>The second part of the course will be focused on credit models: building discount curves for credit models estimation of default probability and credit spread from equity prices. We will discuss Gaussian copula model, base correlation and CVA. Hybrid Securities will be introduced and modeling issues will be discussed.</p><br />
<br />
|Textbook = <br />
<p>Antoon Pelsser, Efficient Methods for Valuing Interest Rate Derivatives, Springer</p><br />
<p>(ISBN 978-1-85233-304-1)</p><br />
<p>Dominic O'Kane, Modelling Single-name and Multi-name Credit Derivatives, Wiley</p><br />
<p>(ISBN: 978-0-470-51928-8)</p><br />
<p>Jan De Spiegeleer, Wim Schoutens, Cynthia Van Hulle, The Handbook of Hybrid Securities: Convertible Bonds, CoCo Bonds and Bail-In, Wiley (ISBN: 978-1-118-44999-8)</p><br />
<br />
|Reading = <br />
<p>John Hull. Options, Futures, and Other Derivatives. 2012. Eighth Edition. Prentice Hall. ISBN: 978-0132164948</p><br />
<br />
|GradingPolicy = <br />
<p>Assignments 40%</p><br />
<p>Midterm 30%</p><br />
<p>Final 30%</p> <br />
}}<br />
== Lecture Outline ==<br />
<table style="width: 600px;" border="1"><br />
<br />
<tr><br />
<td style="width: 52px;">Week 1</td><br />
<td style="width: 502px;"><br />
<p>Static curves: Construction of discount factors, zero coupon rates, forward rates.</p><br />
<p>Pricing bonds and interest rates swaps. Bond price sensitivity to interest rates moves (duration, DV01,convexity). Bootstrapping Yield Curve.</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 52px;">Week 2</td><br />
<td style="width: 502px;">Interest Rate Derivatives (Convexity, Timing, Quanto Adjustment)</td><br />
</tr><br />
<tr><br />
<td style="width: 52px;">Week 3</td><br />
<td style="width: 502px;">Interest Rate Derivatives: The Standard Market Model</td><br />
</tr><br />
<tr><br />
<td style="width: 52px;">Week 4</td><br />
<td style="width: 502px;">Interest Rate Derivatives: Models of the Short Rate</td><br />
</tr><br />
<tr><br />
<td style="width: 52px;">Week 5</td><br />
<td style="width: 502px;">Interest Rate Derivatives: HJM and LMM</td><br />
</tr><br />
<tr><br />
<td style="width: 52px;">Week 6</td><br />
<td style="width: 502px;">Swaps Revisited</td><br />
</tr><br />
<tr><br />
<td style="width: 52px;">Week 7</td><br />
<td style="width: 502px;">Midterm Exam</td><br />
</tr><br />
<tr><br />
<td style="width: 52px;">Week 8</td><br />
<td style="width: 502px;"><br />
<p>Credit models: Default event and survival probabilities. Risk neutral and realized default probabilities. Cashflows conditional on default and survival probabilities. Forward default intensity curve. Clean par credit curve. Pricing credit default swaps. Survival probability and recovery values.</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 52px;">Week 9</td><br />
<td style="width: 502px;">CDO’s: introduction, Gaussian copula models, Large portfolio Approximation</td><br />
</tr><br />
<tr><br />
<td style="width: 52px;">Week 10</td><br />
<td style="width: 502px;">Base Correlation framework ; Merton’s Asset Value Model</td><br />
</tr><br />
<tr><br />
<td style="width: 52px;">Week 11</td><br />
<td style="width: 502px;">Counterparty Credit Risk and Credit Value Adjustment</td><br />
</tr><br />
<tr><br />
<td style="width: 52px;">Week 12</td><br />
<td style="width: 502px;">Thanksgiving Recess – No Classes; Offices Closed.</td><br />
</tr><br />
<tr><br />
<td style="width: 52px;">Week 13</td><br />
<td style="width: 502px;">Hybrid Securities: Convertible Bonds, CoCo Bonds and Bail-In</td><br />
</tr><br />
<tr><br />
<td style="width: 52px;">Week 14</td><br />
<td style="width: 502px;">Modeling Hybrids Securities: Advanced Issues</td><br />
</tr><br />
<tr><br />
<td style="width: 52px;"> </td><br />
<td style="width: 502px;">Final Exam</td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE710_Applied_Stochastic_Differential_Equations&diff=4988
FE710 Applied Stochastic Differential Equations
2018-02-21T22:00:39Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Zhenyu Cui]]<br />
|Email = zcui6@stevens.edu<br />
|Phone = <br />
|Office = Babbio 514<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Zhenyu_cui.jpg<br />
|Office_Hour = M 4:00pm -6:00pm<br />
<br />
|Classroom = <br />
<br />
|Classtime = <br />
<br />
|Opening_Term = <br />
<br />
|Course_Intro =<br />
This course is designed for graduate students who took FE 610 and have a good grasp of understanding Probability and Stochastic Calculus. The objective is to understand Stochastic Differential Equations (SDE’s) both from theoretical and practical perspective.<br />
<br />
|Outcomes = <br />
<br />
<br />
|Description = <br />
<p>Topics include Ito calculus review, linear stochastic differential equations (SDE’s), examples of solvable SDE’s, weak and strong solutions, existence and uniqueness of strong solutions, Ito-Taylor expansions, SDE for Markov processes with jumps, Levy processes, forward and backward equations and the Feynman-Kac representation formula, and introduction to stochastic control.</p><br />
<p>Applications are mostly from financial engineering but applications in areas such as population dynamics, energy, climatology and seismology may also be presented.</p><br />
<br />
|Textbook = <br />
<p>We will provide notes additional to the textbook material. The main textbook used is:</p><br />
<p>• Stochastic Differential Equation, by Bernt Øksendal, 6th edition, 2010, ISBN-10: 3540047581, ISBN-13: 978-3540047582 In addition the following textbooks provide additional references:</p><br />
<br />
|Reading = <br />
<p>• Stochastic Calculus for Finance vol I and II, by Steven E. Shreve,<br />Springer Finance, 2004, ISBN-13: 978-0387249681 (vol I) and 978-<br />1441923110 (vol II) (used in FE610).<br /><br />• Eckhard Platen and Nicola Bruti-Liberati, Numerical Solutions of Stochas-<br />tic Differential Equations with Jumps in Finance, Springer 2010, ISBN:<br />978-3-642-12057-2<br /><br />• Stochastic Calculus and Financial Applications, by J. Michael Steele,<br />Springer 2000, ISBN-10: 0387950168, ISBN-13: 978-0387950167</p><br />
<p><br />• Introduction to Stochastic Calculus With Applications by Fima C. Kle-<br />baner, , ISBN-10: 1848168322, ISBN-13: 978-1848168329<br /><br />• Financial Calculus: An Introduction to Derivative Pricing by Martin<br />Baxter, Andrew Rennie, 1996, ISBN-10: 0521552893, ISBN-13: 978-<br />0521552899<br /><br />• Introduction to the Mathemtics of Financial Derivatives, by Salih N<br />Neftci, 2nd ed, Associated Press, 2000, ISBN 0125153929.<br /><br />• Handbook of Probability, by I. Florescu and C. Tudor, ISBN: 978-0-470-<br />64727-1, Oct. 2013. (for probability background)<br /><br />• Probability and Stochastic Processes, by I. Florescu, ISBN: 978-0-470-<br />62455-5, Oct. 2014. (for both Probability and Stochastic processes<br />background)</p><br />
<br />
|GradingPolicy = <br />
<p>We will have several assignments throughout the course. We may have a midterm and/or final in the course. The percentage for all components will be decided and announced throughout the class.</p> <br />
}}<br />
== Lecture Outline ==</div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE800_Project_in_Financial_Engineering&diff=4987
FE800 Project in Financial Engineering
2018-02-21T22:00:31Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Zhenyu Cui]]<br />
|Email = zcui6@stevens.edu<br />
|Phone = <br />
|Office = Babbio 514<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Zhenyu_cui.jpg<br />
|Office_Hour = |Name2 = [[Khaldoun Khashanah ]]<br />
|Email2 = khaldoun.khashanah@stevens.edu<br />
|Phone2 = <br />
|Office2 = Babbio 543<br />
|Photo_file2 = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/K_khashanah.jpg<br />
|Office_Hour2 = <br />
<br />
|Classroom = <br />
Babbio 320<br />
|Classtime = <br />
T 06:15-09:30PM <br />
|Opening_Term = Fall On Campus, Fall Online, Spring On Campus, Spring Online, Summer Online<br />
<br />
|Course_Intro =<br />
<br />
<br />
|Outcomes = <br />
<br />
<br />
|Description = <br />
<p>This course is designed for students undertaking a research or analytical project either individually or as a group. The project may be suggested either by faculty members or industry senior managers associated with your internship, as well as any internship that a student may receive through this course.</p><br />
<br />
|Textbook = <br />
<br />
<br />
|Reading = <br />
<p>No textbook is required for the course. However, you may find it useful to consult Kate L. Turabian, A Manual for Writers of Research Papers, Theses, and Dissertations. 7th Edition. University of Chicago Press, 2007. ISBN: 02268233772</p><br />
<br />
|GradingPolicy = <br />
<table style="height: 501px;" border="1" width="600"><br />
<tbody><br />
<tr><br />
<td style="width: 232.667px;">Item</td><br />
<td style="width: 232.667px;">Due Date</td><br />
<td style="width: 232.667px;">Grade</td><br />
</tr><br />
<tr><br />
<td style="width: 232.667px;">Project proposal and Literature Review</td><br />
<td style="width: 232.667px;">2016-09-13</td><br />
<td style="width: 232.667px;">10%</td><br />
</tr><br />
<tr><br />
<td style="width: 232.667px;">Phase One Presentation: Timeline</td><br />
<td style="width: 232.667px;">2016-10-04</td><br />
<td style="width: 232.667px;">10%</td><br />
</tr><br />
<tr><br />
<td style="width: 232.667px;">Phase Two Presentations: Methodology Presentation</td><br />
<td style="width: 232.667px;">2016-10-25</td><br />
<td style="width: 232.667px;">10%</td><br />
</tr><br />
<tr><br />
<td style="width: 232.667px;">Written Report</td><br />
<td style="width: 232.667px;">2016-12-13</td><br />
<td style="width: 232.667px;">30%</td><br />
</tr><br />
<tr><br />
<td style="width: 232.667px;">Oral Presentation</td><br />
<td style="width: 232.667px;">2016-11-29, 2016-12-6</td><br />
<td style="width: 232.667px;">20%</td><br />
</tr><br />
<tr><br />
<td style="width: 232.667px;">Attendance and Presentations in Class</td><br />
<td style="width: 232.667px;">Throughout semester</td><br />
<td style="width: 232.667px;">20%</td><br />
</tr><br />
</tbody><br />
</table><br />
<p> </p> <br />
}}<br />
== Lecture Outline ==</div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE541_Applied_Statistics_with_Applications_in_Finance&diff=4986
FE541 Applied Statistics with Applications in Finance
2018-02-21T22:00:19Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Ionut Florescu]]<br />
|Email = ionut.florescu@stevens.edu<br />
|Phone = (201) 516 5452<br />
|Office = Babbio 540 <br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Ionut_Florescu.jpg<br />
|Office_Hour = M 2:00p.m.<br />
<br />
|Classroom = <br />
Babbio 101<br />
|Classtime = <br />
M 3:00 - 5:30PM<br />
|Opening_Term = Fall On Campus, Spring Online<br />
<br />
|Course_Intro =<br />
The course prepares students to employ essential ideas and reasoning of applied statistics. <br />
<br />
|Outcomes = <br />
<p>This course will allow the students to:</p><br />
<ol><br />
<li>Understand and summarize complex data sets through graphs and numerical measures</li><br />
<li>Calculate estimates of parameters using fundamental statistical methods</li><br />
<li>Give measures of how good the estimators are by providing confidence intervals or approximate confidence intervals</li><br />
<li>Apply statistical tests to experimental observations</li><br />
<li>Estimate and calibrate parameters of mathematical models using real data</li><br />
<li>Study relationships between two or more random variables</li><br />
<li>Be ready to go into a more advanced applied statistical course such as time series analysis.</li><br />
</ol><br />
<br />
|Description = <br />
<p>Each section of the course will cover theory and test the student’s knowledge on developing models. The course is designed to familiarize students with statistical software needed for analysis of the data. Financial applications are emphasized but the course serves areas of science and engineering where statistical concepts are needed. The course objective is to equip students with fundamental statistical analytical techniques to have better success in the financial engineering curriculum whenever statistical analysis of data is involved and to provide students with a solid foundation of statistical problem solving empirical methods with the ability to summarize, and calibrate observed multivariate data.</p><br />
<br />
|Textbook = <br />
<div style="font-size: 14px;"><br />
<ul><br />
<li>D. Moore, G. McCabe and B. Craig, Introduction to the practice of Statistics, 8th edition, W.H. Freeman and Co, 2014</li><br />
</ul><br />
</div><br />
<div style="font-size: 14px;"><br />
<ul><br />
<li>Michael Kutner, Christopher Nachtsheim, John Neter, William Li: Applied Linear Statistical Models, McGraw-Hill/Irwin, 2004</li><br />
</ul><br />
</div><br />
<div style="font-size: 14px;"><br />
<ul><br />
<li>Peter Daalgard, Introductory Statistics with R,Springer; 2002. Corr. 3d printing edition January 9, 2004.</li><br />
</ul><br />
</div><br />
<br />
|Reading = <br />
<div style="font-size: 14px;"><br />
<ul><br />
<li>Ionut Florescu and Ciprian Tudor, Handbook of Probability, Wiley, 2013 (for reference)</li><br />
</ul><br />
</div><br />
<div style="font-size: 14px;"><br />
<ul><br />
<li>John C. Hull, Options, Futures and Other Derivatives, Prentice Hall, 2014, 9th edition,(for reference - you may get any of the older editions as the current edition is quite expensive. You should use whatever edition you used or plan to use in FE620).</li><br />
</ul><br />
</div><br />
<p> </p><br />
<br />
|GradingPolicy = <br />
<p>The final grade will be determined upon the student's performance in the Homework and Exams. We will have several assignments (each weighted equally toward your final grade) during the course of the semester. Only use the .pdf format for submitting assignment files. You should be able to transform any document into a pdf file. You can use Adobe acrobat - should be free to Stevens students as far as I know (please call the students help desk), or a simple alternative is to use a pdf printer driver. I write all my documents in LATEX and that typesetting program produces pdf files. A simple alternative (using any typesetting program) would be to search on google for a driver that would print to a pdf file. Such drivers are generally free.</p><br />
<p>In this course the students will be required to design and work on a project which contains a data component and is applicable to their primary field of study. Any project topic needs to be approved by the instructor and is required to apply statistical methods learned in this course. This project (written report and the presentations) will count as the final exam in this course. As such it is an important component of the course that should not be taken lightly.</p><br />
<p>Late assignments will not be accepted under any circumstances without prior notice and permission of the instructor. If outside circumstances are affecting your ability to perform in the course, you must contact me before you fall behind.</p><br />
<p> </p> <br />
}}<br />
== Lecture Outline ==<br />
<table style="height: 371px; width: 600px;" border="1"><br />
<br />
<tr><br />
<td style="width: 100px;"><strong>Week</strong></td><br />
<td style="width: 204px;"><strong>Topic(s) </strong></td><br />
<td style="width: 177px;"><strong>References</strong></td><br />
</tr><br />
<tr><br />
<td style="width: 100px;">week 1, 2, 3</td><br />
<td style="width: 204px;"><br />
<p>General Statistical methods</p><br />
<p>Looking at Data. Descriptive graphical measures. Numerical measures. Sampling distributions.</p><br />
<p>Intro to R. Distributions in R.</p><br />
<p>Methods of finding estimators, Maximum likelihood, Method of moments, Bayesian estimators. Conditional Maximum likelihood estimators.</p><br />
<p>Approximations. Applications to financial models.</p><br />
</td><br />
<td style="width: 177px;">Notes, Ch 1, 2 in [4] Ch 1-6 in [1]<br />
<p>Ch. 8 in [2] Hwk 1 due Lecture notes Hwk 2 due</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 100px;">Week 4, 5, 6</td><br />
<td style="width: 204px;"><br />
<p>One variable statistical inference</p><br />
<p>Confidence intervals and Testing Hypotheses on Population Means and Proportions</p><br />
<p>Two Population tests for Means and Proportions</p><br />
<p>Tests of Population Variance, Two Populations Review</p><br />
</td><br />
<td style="width: 177px;">Ch 6, 7.1, 8.1 in [4] Project decision Ch 7.2, 8.2 in [4] Hwk 3 due<br />
<p>Ch 7.3 in [4] Hwk 4 due</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 100px;">Week 7</td><br />
<td style="width: 204px;">Midterm examination</td><br />
<td style="width: 177px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 100px;">Week 8, 9</td><br />
<td style="width: 204px;"><br />
<p>Multivariate Statistics</p><br />
<p>Categorical Data Analysis. One and Two Way Tables. Goodness of Fit test. Independence test. Regression Regression (cont) . Least Squares Fitting.</p><br />
<p>Analysis and Testing. Prediction. Multiple Regression. Confidence intervals ANOVA table, multiple R2, residuals</p><br />
</td><br />
<td style="width: 177px;">Ch 9 in [4] Part 1 in [3] Part 2 in [3] Project update Hwk 5 due</td><br />
</tr><br />
<tr><br />
<td style="width: 100px;">Week 10, 11</td><br />
<td style="width: 204px;"><br />
<p>Selection of variables. Correlation analysis,</p><br />
<p>Variance inflation factors. Nonlinear regression. Generalized Additive Models.</p><br />
<p>Analysis of variance (ANOVA) models. Applications. Expansion to mixture models Analysis of Covariance</p><br />
</td><br />
<td style="width: 177px;">Part 2 in [3]<br />
<p>Part 4 in [3] Ch 12, 13 in [4] Ch 14 in [4] Hwk 6 due</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 100px;">Week 12, 13, 14</td><br />
<td style="width: 204px;"><br />
<p>Applications</p><br />
<p>Logistic regression.</p><br />
<p>Intro to Risk measures: VaR, CVaR and CoVar</p><br />
<p>Bootstrap Method and Permutation tests. Cross-validation methods.</p><br />
<p>Applications. Review and catching up</p><br />
</td><br />
<td style="width: 177px;">Lecture notes<br />
<p>Ch 16 in [4] Hwk 7 due</p><br />
</td><br />
</tr><br />
<br />
</table><br />
<p> </p></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE542_Time_Series_with_Applications_to_Finance&diff=4967
FE542 Time Series with Applications to Finance
2018-02-21T21:32:37Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Ionut Florescu]]<br />
|Email = ionut.florescu@stevens.edu<br />
|Phone = (201) 516 5452<br />
|Office = Babbio 540 <br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Ionut_Florescu.jpg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
<br />
|Classtime = <br />
<br />
|Opening_Term = Fall On Campus<br />
<br />
|Course_Intro =<br />
This course is designed for Master and Ph.D. graduate students and advanced undergraduates. The purpose is to learn applied statistical methodologies pertaining to time series (i.e., a discrete series of observations related in time). The students are required to have taken a probability course such as FE 540 or MA 540 and an applied statistics course such as FE541 and have a solid working knowledge of probability and statistics. Simple regression, estimation, confidence intervals and testing from the applied perspective are crucial notions assumed known for this course. We will use R throughout the course so a running knowledge of it is good to have. FE515 is a one credit course teaching R programming that complements this class.<br />
<br />
|Outcomes = <br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">A student graduating this course will be expected to have the following specific knowledge.</p><br />
<ol style="line-height: 1.5em; margin: 0.3em 0px 0px 3.2em; padding: 0px; list-style-image: none; color: #000000; font-family: sans-serif; font-size: 12.8px;"><br />
<li style="margin-bottom: 0.1em;">A running knowledge of R that will help with any statistical (and not only) problem.</li><br />
<li style="margin-bottom: 0.1em;">The ability to approach and analyze any discrete time signal from a time series perspective.</li><br />
<li style="margin-bottom: 0.1em;">The ability to differentiate between various time series models.</li><br />
<li style="margin-bottom: 0.1em;">The ability to perform cross-validation of the model developed.</li><br />
<li style="margin-bottom: 0.1em;">The ability to forecast future observations of the time series.</li><br />
</ol><br />
<br />
|Description = <br />
<ul style="line-height: 1.5em; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII='); color: #000000; font-family: sans-serif; font-size: 12.8px;"><br />
<li style="margin-bottom: 0.1em;">Review of Statistical Methods, Visual descriptors, Numerical Descriptors. Simple and multivariate regression, diagnostic checks.</li><br />
<li style="margin-bottom: 0.1em;">Characteristics of discrete time financial data, returns, kurtosis etc.</li><br />
<li style="margin-bottom: 0.1em;">Correlations, Dependence Autocorrelation</li><br />
<li style="margin-bottom: 0.1em;">Linear time series analysis (AR, MA, ARMA).</li><br />
<li style="margin-bottom: 0.1em;">Volatility modeling via conditional heteroscedastic models (ARCH, GARCH, EGARCH, etc.)</li><br />
<li style="margin-bottom: 0.1em;">Market Microstructure data analysis</li><br />
<li style="margin-bottom: 0.1em;">Nonlinear models and applications (TAR, STAR, MSA)</li><br />
<li style="margin-bottom: 0.1em;">Nonparametric methods: Kernel regression, local regression, Neural networks</li><br />
<li style="margin-bottom: 0.1em;">Value at risk (VaR), stress test, peak over threshold, expected shortfall</li><br />
<li style="margin-bottom: 0.1em;">Bootstrap, Parametric Bootstrap and simulation methods.</li><br />
</ul><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;"><br />This is the main material. Provided enough time is left we may introduce the following topics</p><br />
<ul style="line-height: 1.5em; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII='); color: #000000; font-family: sans-serif; font-size: 12.8px;"><br />
<li style="margin-bottom: 0.1em;">Multivariate time series models.</li><br />
<li style="margin-bottom: 0.1em;">Multi-factor CAPM and APT.</li><br />
<li style="margin-bottom: 0.1em;">Principal Component Analysis and Application to Arbitrage Pricing Theory</li><br />
</ul><br />
<br />
|Textbook = <br />
<ul style="line-height: 1.5em; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII='); color: #000000; font-family: sans-serif; font-size: 14px;"><br />
<li style="margin-bottom: 0.1em;">Analysis of Financial Time Series, by Ruey S. Tsay, 3rd edition, Wiley Series in Probability and Statistics, Aug 30 2010, ISBN: 9780470414354, ISBN-13: 978-0470414354 (primary textbook)</li><br />
</ul><br />
<br />
|Reading = <br />
<h3 style="color: #000000; background-image: none; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial; margin: 0px 0px 0.3em; overflow: hidden; padding-top: 0.5em; padding-bottom: 0.17em; border-bottom: none; width: auto; font-size: 16.896px; font-family: sans-serif;"><span id="Supplemented_Reading" class="mw-headline">Supplemented Reading</span></h3><br />
<div style="color: #000000; font-family: sans-serif; font-size: 14px;"><br />
<ul style="line-height: 1.5em; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII=');"><br />
<li style="margin-bottom: 0.1em;">Introductory Statistics with R, by Peter Daalgard, Springer; 2002. Corr. 3rd printing edition (January 9, 2004) ISBN-10: 0387954759 ISBN-13: 978-0387954752 (recommended text for R programming)</li><br />
</ul><br />
</div><br />
<div style="color: #000000; font-family: sans-serif; font-size: 14px;"><br />
<ul style="line-height: 1.5em; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII=');"><br />
<li style="margin-bottom: 0.1em;">Statistical Analysis of Time-Series Data in SPlus, by Renfine Carmona, Springer, March 4, 2004, ISBN: 0387202862 , ISBN-13: 978-0387202860 (recommended text)</li><br />
</ul><br />
</div><br />
<div style="color: #000000; font-family: sans-serif; font-size: 14px;"><br />
<ul style="line-height: 1.5em; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII=');"><br />
<li style="margin-bottom: 0.1em;">An Introduction to Analysis of Financial Data with R, by Ruey S. Tsay, John Wiley, 2013, ISBN 0470890813.</li><br />
</ul><br />
</div><br />
<h3 style="color: #000000; background-image: none; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial; margin: 0px 0px 0.3em; overflow: hidden; padding-top: 0.5em; padding-bottom: 0.17em; border-bottom: none; width: auto; font-size: 16.896px; font-family: sans-serif;"><span id="Tools" class="mw-headline">Tools</span></h3><br />
<div style="color: #000000; font-family: sans-serif; font-size: 14px;"><br />
<ul style="line-height: 1.5em; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII=');"><br />
<li style="margin-bottom: 0.1em;">We will use R throughout this course. Students will be expected to install and have the program running on their computers.</li><br />
</ul><br />
</div><br />
<br />
|GradingPolicy = <br />
<h3 style="color: #000000; background-image: none; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial; margin: 0px 0px 0.3em; overflow: hidden; padding-top: 0.5em; padding-bottom: 0.17em; border-bottom: none; width: auto; font-size: 16.896px; font-family: sans-serif;"><b>Proper assignment write-up</b></h3><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">To understand the course material and get a good grade it is necessary (though not sufficient) to invest a substantial amount of time working on the assignments. Homework consisting of about 5-8 problems will be assigned in class and posted on the web every other week or so. They will be due on the specified due date at the specified time. No late homework will be accepted under any circumstances. I will grade two or three problems (selected by me) from each assignment which will count toward 60% of the homework grade, while casually reviewing the other problems for the remaining 40% of the homework grade.</p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">You are encouraged to discuss homework; however, all written homework must be written by you. Copying solutions from other students in the class, former students, tutors, or any other source is strictly forbidden. Copying the solution of one or more problems from another source than your own brain is consider academic dishonesty/misconduct and will be dealt with according to the Stevens honor board policy. Please review the document posted on the website which details what is considered fair collaboration and what is considered academic misconduct. Your solutions must be those that you fully understand and can produce again (and solve similar problems) without help. The ideal model to follow is first to work independently, then to discuss issues with your fellow students, and then to prepare the final write-up individually. This is going to be an applied course. Therefore, I would expect any solution to a problem in this class to follow the steps bellow:</p><br />
<ol style="line-height: 1.5em; margin: 0.3em 0px 0px 3.2em; padding: 0px; list-style-image: none; color: #000000; font-family: sans-serif; font-size: 12.8px;"><br />
<li style="margin-bottom: 0.1em;">Outline the steps and identify the mathematical techniques learned that pertain to the respective problem.</li><br />
<li style="margin-bottom: 0.1em;">If the problem needs a method first identify and describe the methodology you will apply. Comments about the first two steps. It is expected that in an applied course students spend most time on the next (third) step. However, the first two steps are equally important for a successful demonstration of understanding the course concepts. At the beginning of every course the problems are simple enough that the need for these two first steps seem unnecessary but by the end of the class the problems become complicated enough that this will not seem artificial (indeed it will be most helpful). It is equally important that you do these steps for the problems in midterm and the final. During a test students have sometime difficulties carrying out all the mathematical analysis to completely solve the problem. However, if I can determine that you understand the steps required and what to do to complete the problem, I can give more credit than in a situation when the problem is not completed or a wrong solution is given and the student does not tell me anything about what he/she is doing. Thus, a clearly written plan of your solution will help you earn a good test grade.</li><br />
<li style="margin-bottom: 0.1em;">Apply the methodology to the problem or the data under study. As a professional in a quantitative field you will be expected to carry out and provide answers involving real applications. However, in this class you must show an understanding of why and what of all of the steps involved . Explain what you are doing as if you are teaching it to someone. People who write journal articles often leave out most of the easy steps and just show the hardest steps. That is fine for journal articles, but it is not appropriate for a classroom situation where you need to be convincing the instructor that you understand the reasoning behind all the steps you are doing.</li><br />
<li style="margin-bottom: 0.1em;">Very important! Write a conclusion explaining if the application seems to support the method. This is the most important step. Oftentimes, an applied research article is judged from the contribution to the science as evident in the conclusion. Therefore, the clarity with which you expose this part is the most important step of solving the problem.</li><br />
</ol><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;"><b>Exam policy</b></p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">We will have one midterm and a final exam. The format will be decided at a later time. If in class you will be allowed to bring a handwritten page containing whatever you think is relevant for the exam. I have not yet decided at this time if you will be asked to do real applied problem that will require the use of a laptop pc. If you need to use a computer the exam will be open-books open-notes. The date for the midterm will be agreed on during the semester. The most weight for the final grade will be coming from the final examination.</p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">There will be no individual make up exams. If you miss one of the exams, you may be allowed to take a comprehensive make up exam (location and time to be determined) at the end of the semester. To be allowed to take this make up exam you have to bring valid written documentation that explains the reason for the missed exam. The make up exam will replace at most one missing exam grade.</p> <br />
}}<br />
== Lecture Outline ==<br />
<table class="wikitable" style="font-size: 12.8px; margin: 1em 1em 1em 0px; background-color: #f9f9f9; border: 1px solid #aaaaaa; border-collapse: collapse; color: #000000; font-family: sans-serif; width: 1068px; height: 337px;" border="1px solid rgb(170, 170, 170)" cellpadding="0.2em"><br />
<br />
<tr style="height: 14px;"><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center; width: 34px; height: 14px;">Week</th><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center; width: 611px; height: 14px;">Topic(s)</th><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center; width: 69px; height: 14px;">Readings</th><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center; width: 143px; height: 14px;">Homework</th><br />
</tr><br />
<tr style="height: 54.7969px;"><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 34px; height: 54.7969px;">1</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 611px; height: 54.7969px;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">Financial Time Series and characteristics. Visual descriptors. Numerical descriptors. Asset returns. Properties</p><br />
</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 69px; height: 54.7969px;">Ch 1 in [1]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 143px; height: 54.7969px;"> </td><br />
</tr><br />
<tr style="height: 54px;"><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 34px; height: 54px;">2</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 611px; height: 54px;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">Likelihood function, conditional distribution, kurtosis and skewness, multivariate returns</p><br />
</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 69px; height: 54px;"> </td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 143px; height: 54px;">Hwk 1 due</td><br />
</tr><br />
<tr style="height: 54px;"><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 34px; height: 54px;">3</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 611px; height: 54px;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">Linear time series models. Autocorrelation function. The white noise process</p><br />
</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 69px; height: 54px;">Ch 2 in [1]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 143px; height: 54px;"> </td><br />
</tr><br />
<tr style="height: 33px;"><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 34px; height: 33px;">4</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 611px; height: 33px;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">The Autoregressive model</p><br />
</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 69px; height: 33px;"> </td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 143px; height: 33px;">Hwk 2 due</td><br />
</tr><br />
<tr style="height: 33px;"><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 34px; height: 33px;">5</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 611px; height: 33px;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">The Moving Average model</p><br />
</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 69px; height: 33px;"> </td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 143px; height: 33px;"> </td><br />
</tr><br />
<tr style="height: 54px;"><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 34px; height: 54px;">6</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 611px; height: 54px;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">The ARMA model. Unit root nonstationarity. The augmented Dickey-Fuller Test procedure.</p><br />
</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 69px; height: 54px;"> </td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 143px; height: 54px;">Hwk 3 due</td><br />
</tr><br />
<tr style="height: 54px;"><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 34px; height: 54px;">7</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 611px; height: 54px;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">General ARIMA model. Seasonality models. The airplane model. Regression with time series errors. Review of linear models.</p><br />
</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 69px; height: 54px;"> </td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 143px; height: 54px;"> </td><br />
</tr><br />
<tr style="height: 54px;"><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 34px; height: 54px;">8</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 611px; height: 54px;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">Conditional Heteroskedastic models. Testing for ARCH effects. The ARCH model.</p><br />
</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 69px; height: 54px;">Ch 3 in [1]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 143px; height: 54px;">Hwk 4 due</td><br />
</tr><br />
<tr style="height: 54px;"><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 34px; height: 54px;">9</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 611px; height: 54px;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">Conditional Maximum Likelihood, Approximate MLE, Simulated MLE, EM algorithm.</p><br />
</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 69px; height: 54px;"> </td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 143px; height: 54px;"> </td><br />
</tr><br />
<tr style="height: 33px;"><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 34px; height: 33px;">10</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 611px; height: 33px;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">Midterm</p><br />
</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 69px; height: 33px;"> </td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 143px; height: 33px;">Midterm</td><br />
</tr><br />
<tr style="height: 33px;"><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 34px; height: 33px;">11</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 611px; height: 33px;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">The GARCH model.</p><br />
</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 69px; height: 33px;"> </td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 143px; height: 33px;"> </td><br />
</tr><br />
<tr style="height: 54px;"><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 34px; height: 54px;">12</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 611px; height: 54px;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">EGARCH, GARCH-M, CHARMA, Threshold GARCH. Using high frequency data. The ACD model.</p><br />
</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 69px; height: 54px;"> </td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 143px; height: 54px;">Hwk 5 due</td><br />
</tr><br />
<tr style="height: 54px;"><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 34px; height: 54px;">13</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 611px; height: 54px;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">Nonlinear models and applications. Bilinear model, TAR model, STAR model, Markov regime switching model</p><br />
</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 69px; height: 54px;">Ch 4 in [1] and research notes</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 143px; height: 54px;"> </td><br />
</tr><br />
<tr style="height: 33px;"><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 34px; height: 33px;">14</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 611px; height: 33px;"><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px;">Bootstrap analysis, Cross validation methods for time series</p><br />
</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 69px; height: 33px;">Notes</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em; width: 143px; height: 33px;">Hwk 6 due</td><br />
</tr><br />
<br />
</table><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">Reference for lecture outline [1] Analysis of Financial Time Series, by Ruey S. Tsay, 3rd edition, Wiley Series in Probability and Statistics, Aug 30 2010, ISBN: 9780470414354, ISBN-13: 978-0470414354 (primary textbook)</p></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE543_Introduction_to_Stochastic_Calculus_for_Finance&diff=4966
FE543 Introduction to Stochastic Calculus for Finance
2018-02-21T21:32:32Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Papa Ndiaye]]<br />
|Email = Papa.Ndiaye@stevens.edu<br />
|Phone = <br />
|Office = <br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Ndiaye_9199.jpg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
Carnegie Laboratory 316<br />
|Classtime = <br />
M 06:15-08:45PM<br />
|Opening_Term = Fall On Campus, Spring On Campus<br />
<br />
|Course_Intro =<br />
Stochastic calculus is a branch of mathematics that operates on stochastic processes. It allows a consistent theory of integration to be defined for integrals of stochastic processes with respect to stochastic processes. It is used to model systems that behave randomly.<br />
<br />
|Outcomes = <br />
<br />
<br />
|Description = <br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">This course is designed for advanced undergraduate students and masters students in Financial Engineering. The goal is to learn the foundation on which Finance is built upon. The students are supposed to have a strong background in applied mathematics (analysis and calculus) and probability at an undergraduate level. Any student who does not already have this previous knowledge will have much greater difficulty learning the material.</span></p><br />
<br />
|Textbook = <br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Tahoma, sans-serif;"><em>Stochastic Calculus for Finance vol I and II</em>, by Steven E. Shreve, Springer Finance, 2004, ISBN-13: 978-0387249681 (vol I) and 978-0387401010 (vol II).<br /> <!-- [if !supportLineBreakNewLine]--><br /> <!--[endif]--></span></p><br />
<br />
|Reading = <br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;"><em>Introduction to Probability Models</em>, 10th edition, by Sheldon M. Ross, Academic Press, 2009, ISBN-10: 0123756863, ISBN-13: 978-0123756862.</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;"><em>Probability and Random Processes</em>, by Geoffrey Grimmett and David Stirzaker, Oxford University Press 2001.<br /><em>Stochastic Differential Equation,</em> by Bernt Oksendal, 6th edition, 2010, ISBN-10: 3540047581, ISBN-13: 978-3540047582</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;"><em>Introduction to the Mathematics of Financial Derivatives</em>, by by Salih N Neftci, 2nd ed, Associated Press, 2000, ISBN 0125153929. </span></p><br />
<br />
|GradingPolicy = <br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt;"><strong><span style="font-family: Tahoma, sans-serif;">Homework</span></strong></span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">There will be around 5 homework assignments throughout the semester. Collaboration is encouraged as it can be helpful to understand some of these concepts. Do not confuse collaboration for academic misconduct. Attempt each problem on your own before seeking help from another person. Make sure that you understand the entire assignment that you turn in, and could reproduce the work or solve a similar problem. Do not think that you can simply copy another person's assignment and expect to understand the material. Late homework will be accepted under the following policy. If the homework is turned in within one week of the original due date, it will receive 2/3 (two third) of its score, going down by a third each week it is late. The homework assignments will have a very firm deadline, of 11:55 PM on the due date. When I say this is a firm date, I mean that if a homework is submitted online at 11:56 PM, its late, no exceptions. Plan ahead and submit your homework early to avoid problems due to internet or computer issues.</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><strong style="font-size: 10pt;"><span style="font-family: Tahoma, sans-serif;">Exams</span></strong></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">There will be one midterm and one final exam given in the class. If you miss an exam, you must provide a written explanation signed by proper authorities in order to be allowed the chance to take a replacement exam. The midterm and final exam are closed book, but each student can bring one hand written page of notes to the midterm and two hand written pages of notes to the final. Calculators are permitted and encouraged, but cell phones and notebook computers are not allowed.</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt;"><strong><span style="font-family: Tahoma, sans-serif;">Extra Credit</span></strong></span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;">On some of the homework assignments and possibly on the exams, there will be the occasional extra credit problem. This is the <strong>only</strong> source of extra credit for the course. There are no "extra assignments" that students can do to raise their average outside of the ones assigned. There are no exceptions, don't even bother coming to me and asking about extra work and the end of the semester, as I will only direct your attention to this part of the syllabus.</p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><strong>EXAM ROOM CONDITIONS</strong></p><br />
<h2><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">The following procedures apply to exams for this course. As the instructor, I reserve the right to modify </span><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">any conditions set forth below by printing revised Exam Room Conditions on the exam.</span></h2><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">1. </span>Students may <strong>not</strong> use the following devices during exams. Any electronic devices that are not mentioned in the list below are also <strong>not</strong> permitted.</p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Laptops</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Cell Phones</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Tablets</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Smart Watches</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Google Glass</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Other</span></p><br />
<h2><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">2. Students may <strong>not</strong> use the following materials during exams. Any materials that are <strong>not</strong> mentioned in the list below are also not permitted.</span></h2><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Handwritten Notes</span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Typed Notes </span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Textbooks </span></p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Readings</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
<p style="font-size: 12.16px;"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Other</span></p><br />
<p style="font-size: 12.16px;"> </p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">20% Homework</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">30% Midterm</span></p><br />
<p style="font-size: 12.16px;"> </p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">50% Final Exam</span></p> <br />
}}<br />
== Lecture Outline ==<br />
<table class="MsoNormalTable" style="width: 336.75pt; margin-left: 3.75pt; border-collapse: collapse; border: none; mso-border-alt: solid windowtext .5pt; mso-yfti-tbllook: 1184; mso-padding-alt: 0in 5.4pt 0in 5.4pt; mso-border-insideh: .5pt solid windowtext; mso-border-insidev: .5pt solid windowtext;" border="1" width="0" cellspacing="0" cellpadding="0"><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><b><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Week</span></b></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><b><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Material</span></b></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><b><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Reference</span></b></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">1</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">One Period BAPM</span></p><br />
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<td style="border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 1.5pt 1.5pt 1.5pt 1.5pt;"><br />
<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Ch. 1 in vol. I</span></p><br />
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<td style="border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 1.5pt 1.5pt 1.5pt 1.5pt;"><br />
<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">2</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Multiperiod Model and FPS</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Ch. 1 and 2 in vol. I</span></p><br />
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<td style="border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 1.5pt 1.5pt 1.5pt 1.5pt;"><br />
<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">3</span></p><br />
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<td style="border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 1.5pt 1.5pt 1.5pt 1.5pt;"><br />
<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Expectation in BAPM</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Ch. 2 in vol. I</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">4</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Martingales and Markov</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Ch. 2 in vol. I</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">5</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Stopping Times and RW</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Ch. 4 &amp; 5 in vol. I</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">6</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">SSRW and BM</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Ch. 3 in vol. II</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">7</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Quadratic Variation and MP</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Ch. 3 in vol. II</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">8</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Midterm</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';"> </span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">9</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Reflection Prop. and Cont. Passage Times</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Ch. 3 in vol. II</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">10</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Stochastic Calculus Integrands</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Ch. 4 in vol. II</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">11</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Ito’s Formula</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Ch. 4 in vol. II</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">12</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Black-Scholes and Levy</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Ch. 4 in vol. II</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">13</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Change of Measure</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Ch. 5 in vol. II</span></p><br />
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<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">14</span></p><br />
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<p class="MsoNormal" style="margin-bottom: 12.0pt; line-height: normal;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman';">Review &amp; Catch-up</span></p><br />
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Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE720_The_volatility_surface:_risk_and_models&diff=4963
FE720 The volatility surface: risk and models
2018-02-21T21:30:47Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Zhenyu Cui]]<br />
|Email = zcui6@stevens.edu<br />
|Phone = <br />
|Office = Babbio 514<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Zhenyu_cui.jpg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
<br />
|Classtime = <br />
<br />
|Opening_Term = Spring On Campus<br />
<br />
|Course_Intro =<br />
This course is designed for Ph.D. level graduate students as well as advanced Master students. The purpose of the course is to understand the volatility market, the basic volatility instruments in the market, and the properties of the implied volatility surface. Major theoretical models in the volatility area, namely the stochastic volatility, local volatility and discrete GARCH type models are discussed throughout the course. The material taught in this course illustrates current methodologies as well as numerical and visualization techniques. This is an essential course for financial engineers whose work is related to the volatility market and graduate students who are interested in learning modeling techniques, or want to carry out research projects related to the volatility market.<br />
<br />
|Outcomes = <br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">Upon successful completion of the course the students will be expected to have the following specific knowledge.</p><br />
<ol style="line-height: 19.2px; margin: 0.3em 0px 0px 3.2em; padding: 0px; list-style-image: none; color: #000000; font-family: sans-serif; font-size: 12.8px;"><br />
<li style="margin-bottom: 0.1em;">A thorough knowledge of the statics and dynamics of the volatility surface, and basic volatility instruments.</li><br />
<li style="margin-bottom: 0.1em;">The ability to calibrate implied volatility surfaces from option surfaces and interpret the results.</li><br />
<li style="margin-bottom: 0.1em;">The ability to use software to visualize and interpret the volatility surface using for example the Bloomberg or Thomson Reuters terminal.</li><br />
<li style="margin-bottom: 0.1em;">Understand the CBOE white paper on construction of the VIX index.</li><br />
<li style="margin-bottom: 0.1em;">Understand Dupire’s local volatility model and its calibration.</li><br />
<li style="margin-bottom: 0.1em;">The ability to price equity and Foreign exchange (Forex) options using the Heston model.</li><br />
<li style="margin-bottom: 0.1em;">The ability to calculate option prices through the Fast Fourier Transform for stochastic volatility models with jump components.</li><br />
<li style="margin-bottom: 0.1em;">Understand and compare different discretization schemes in the Monte Carlo simulation of the Heston model.</li><br />
<li style="margin-bottom: 0.1em;">The ability to hedge volatility contracts using co-terminal European call and put options, and analyze the hedging error.</li><br />
<li style="margin-bottom: 0.1em;">The ability to price volatility derivatives, the CBOE VIX futures and VIX options.</li><br />
<li style="margin-bottom: 0.1em;">Understand the no-arbitrage constraints on volatility surfaces, the Merill Lynch Stochastic Volatility Inspired (SVI) model, and evaluate its performance.</li><br />
</ol><br />
<br />
|Description = <br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px; line-height: 21px;">In this course students will understand the implied volatility, and the empirical static and dynamic behavior of the volatility surface formed using option prices for all strikes and expirations. The students will also examine the volatility risk, stochastic volatility and local volatility models, numerical methods for volatility surface calibration, Monte Carlo simulation of stochastic volatility models, and pricing options through fast Fourier transform. Topics include: the Black-Scholes implied volatility, empirical statics and dynamics of the volatility surface, volatility risk premium, stochastic volatility models (Heston, Hull-White, Stein-Stein, SABR, Bates, Scott, etc), Dupire’s local volatility model, Heston-Nandi GARCH model, arbitrage-free properties of the volatility surface, volatility surface parameterization and calibration, simulation of the Heston model, stochastic volatility model with jumps, option pricing based on fast Fourier transforms, and volatility derivatives (Variance swap, CBOE VIX futures and options, etc). Other advanced current research topics will be introduced as well. The students are required to have a solid working knowledge of stochastic calculus, and FE610 is a pre-requisite for this course. The course uses statistical software such as Matlab or R throughout. A companion one credit of a relevant lab course is recommended if this knowledge is not acquired before.</span></p><br />
<br />
|Textbook = <br />
<div style="color: #000000; font-family: sans-serif; line-height: 19.2px; font-size: 14px;"><br />
<ul><br />
<li>Jim Gatheral, The Volatility Surface, 1st Edition, Wiley Series in Finance, 2006</li><br />
<li>Alan Lewis, Option Valuation under Stochastic Volatility, 1st Edition, Finance Press, 2000</li><br />
</ul><br />
</div><br />
<br />
|Reading = <br />
<div style="color: #000000; font-family: sans-serif; line-height: 19.2px; font-size: 14px;"><br />
<ul><br />
<li>Gianluca Fusai, Andrea Roncoroni, Implementing Models in Quantitative Finance: Methods and Cases, 1st Edition, Springer Finance Series, 2008</li><br />
<li>Sebastien Bossu, Advanced Equity Derivatives: Volatility and Correlation, 1st Edition, Wiley Series in Finance, 2014</li><br />
<li>Umberto Cherubini, Giovanni Della Lunga, Sabrina Mulinacci and Pietro Rossi, Fourier Transform Methods in Finance, 1st Edition, Wiley Series in Finance, 2010</li><br />
</ul><br />
</div><br />
<br />
|GradingPolicy = <br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;"><b>Homework:</b></p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">There will be around 4 homework assignments throughout the semester. Collaboration is encouraged as it can be helpful to understand some of these concepts. Do not confuse collaboration for academic misconduct. Attempt each problem on your own before seeking help from another person. Make sure that you understand the entire assignment that you turn in, and could reproduce the work or solve a similar problem. Do not think that you can simply copy another person's assignment and expect to understand the material.</p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">Late homework will be accepted under the following policy. If the homework is turned in within one week of the original due date, it will receive 2/3 of its score, going down by a third each week it is late. The homework will have a very firm deadline, of 11:55 PM on the due date. When I say this is a firm date, I mean that if the homework is submitted online at 11:56PM, its late, no exceptions. Plan ahead and submit your homework early to avoid problems due to internet or computer issues.</p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;"><b>Exams:</b></p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">There will be one final exam given in the class. If you miss an exam, you must provide a written explanation signed by proper authorities in order to be allowed the chance to take a replacement exam. The final exam is closed-book, but each student can bring two hand written pages of notes to the final. Calculators are permitted and encouraged, but cell phones and notebook computers are NOT allowed.</p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;"><b>Term Project:</b></p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">A list of term project topics will be assigned in Week 3 and students shall form a group of 2 to 4 students and decide on their topic by Week 5. Project proposal and plan is due by Week 7. The final term project presentation is scheduled in Week 14 and students will present their research findings in class. A final written term project report is due at the end of the term. Sample term project topics:</p><br />
<ul style="line-height: 19.2px; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII='); color: #000000; font-family: sans-serif; font-size: 12.8px;"><br />
<li style="margin-bottom: 0.1em;">Recovering future return densities: take options date on S&amp;P500 index, and use closing prices as the spot, compute implied volatility for each option contract and construct smoother volatility surface (via smoothing and interpolation), then build risk-neutral return density for SPX across different maturities based on the implied volatility surface. Bonus work: try to recover the statistical (or physical) return distribution from options as done in the Ross recovery theorem in Ross (2015): “The Ross Theorem”, Journal of Finance, vol 70, issue 2, page 615-648, 2015.</li><br />
</ul><br />
<ul style="line-height: 19.2px; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII='); color: #000000; font-family: sans-serif; font-size: 12.8px;"><br />
<li style="margin-bottom: 0.1em;">Efficient Fourier inversion for option pricing: compare different inversion methods in their computational efficient under different parameter environments for the Heston model: ie. High/low volatility, long/short maturity. Analyze how the control or dampening parameters in the Carr and Madan (1998) framework can be chosen optimally. Read the paper of Duffie, Pan and Singleton (2011): “Transform analysis and asset pricing for affine jump diffusions”, Econometrica, vol 68, issue 6, page 1343-1376, 2000, and apply the Fourier inversion method to option pricing under affine models. Read the papers of Fang and Oosterlee (2008) on the applications of Fourier Cosine series to the pricing of European options under affine jump diffusions. Apply their method to price Bermudan options, and discrete barrier options.</li><br />
</ul><br />
<ul style="line-height: 19.2px; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII='); color: #000000; font-family: sans-serif; font-size: 12.8px;"><br />
<li style="margin-bottom: 0.1em;">Pricing volatility derivatives which are based on discrete sampling of log returns, read and implement the papers of Broadie and Jain (2008), Bernard and Cui (2014), and Zheng and Kwok (2014). Explore the pricing of a new volatility derivative called timer options introduced by the Societe Generale Investment Bank based on the Monte Carlo simulation methods in Bernard and Cui (2011) and the PDE perturbation method in Li and Mercurio (2014).</li><br />
</ul> <br />
}}<br />
== Lecture Outline ==<br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">Please note that this schedule is a tentative plan for the semester. As we move through the semester the schedule outlined here is subject to change.</p><br />
<table class="wikitable" style="font-size: 12.8px; margin: 1em 1em 1em 0px; border: 1px solid #aaaaaa; border-collapse: collapse; color: #000000; font-family: sans-serif; line-height: 19.2px; background-color: #f9f9f9;"><br />
<br />
<tr><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; text-align: center; background-color: #f2f2f2;">Week</th><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; text-align: center; background-color: #f2f2f2;">Topic(s)</th><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; text-align: center; background-color: #f2f2f2;">References</th><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; text-align: center; background-color: #f2f2f2;">Homework</th><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">week 1</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Empirical features of stock returns time series and realized volatility; implied volatility smile and surface; introduction to stochastic volatility and local volatility.</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Ch 1 in [1]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">week 2</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">The Heston model and its Monte Carlo simulation, numerical discretization schemes and comparison.</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Ch 2 in [1] and research papers</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">week 3</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">The implied volatility surface and links to local volatility.</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Ch 3 in [1] and research papers</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">HW1 due</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">week 4</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">No-arbitrage conditions for implied volatility calibration, the SVI parametrization and link to Heston model</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Ch 3 in [1] and [6] and research papers</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">week 5</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Jump diffusions, computing options prices from characteristic functions, stochastic volatility model plus jumps, Fourier Cosine Series for Option Pricing</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Ch 3 in [1]. Ch 2 in [2] and [7] and research papers</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">week 6</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Heston-Nandi GARCH model and affine GARCH option pricing models.</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Ch 4 in [1] and [8] and research papers</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">HW2 due</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">week 7</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Other popular stochastic volatility models, Hull-White model, Stein-Stein model, Bates model, Scott model, 3/2 model, and hybrid local stochastic volatility model, Stochastic-Alpha-Beta-Rho (SABR) model.</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Ch 5 in [2] and research papers.</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">week 8</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Dynamics of implied volatility surface, exotic cliquet options.</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Ch 8 and Ch 10 in [1]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">week 9</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Spanning generalized European payoffs, pricing and hedging variance and volatility swaps</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Ch 11 in [1] and research papers</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Hwk 3 due</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">week 10</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Valuing volatility derivatives, VIX index, VIX futures.</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Ch 11 in [1] and research papers</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">week 11</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Using Lévy process to model security returns</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">[9]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">week 12</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Stochastic time change applied to Lévy processes, and corresponding stochastic volatility models</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">[9] and research papers.</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Hwk 4 due</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">week 13</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Statistical estimation of stochastic volatility models, approximate stochastic volatility models using recombining trees, or other topics to be determined.</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Research papers.</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">week 14</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Final Term Project Presentation</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<br />
</table><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;"><b>References for lecture outline</b></p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">[1] Jim Gatheral, The Volatility Surface, 1st Edition, Wiley Series in Finance, 2006. ISBN:</p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">[2] Alan Lewis, Option Valuation under Stochastic Volatility, 1st Edition, Finance Press, 2000.</p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">[6] Jim Gatheral and Antoine Jacquier, Arbitrage-free SVI Volatility Surfaces, Quantitative Finance, vol 14, issue 1, page 59-71, 2014.</p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">[7] Peter Carr and Dilip Madan. Option Valuation Using the Fast Fourier Transform, Journal of Computational Finance, vol 2, page 61-73, 1998.</p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">[8] Steven Heston and Siakat Nandi. A Closed-form GARCH Option Valuation Model, Review of Financial Studies, vol 13, number 3, page 585-625.</p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">[9] Liuren Wu. Modeling Financial Security Returns using Levy Processes, chapter in the Handbook of Operation Research and Management Science-Volume 15 Financial Engineering, Editors: John.R.Birge and Vadim Linetsky, Elsevier North-Holland, 2008.</p></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE535_Introduction_to_Financial_Risk_Management&diff=4962
FE535 Introduction to Financial Risk Management
2018-02-21T21:30:38Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Rupak Chatterjee]]<br />
|Email = Rupak.Chatterjee@stevens.edu<br />
|Phone = (201) 216 3393<br />
|Office = Babbio 545<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Rupak_Chatterjee.jpg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
E230<br />
|Classtime = <br />
M 06:15-08:45PM <br />
|Opening_Term = Fall On Campus, Spring On Campus<br />
<br />
|Course_Intro =<br />
Market Quotes of Major Asset Classes<br />
Risk Types of Major Asset Classes<br />
Statistical Analysis of Financial Data for Risk Management<br />
Stochastic Processes and Risk Measures (VAR, CVAR)<br />
<br />
<br />
|Outcomes = <br />
<br />
<br />
|Description = <br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Risk Control and derivative pricing are major concerns for financial institutions. Yet, as recent events have shown us there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial market. Many of the standard models seen on Wall Street however are based on simplified assumptions and can lead to systematic (and sometimes dramatic) underestimation of real risks. Starting from a detailed analysis of market data, one can take into account more faithfully the real behavior of financial markets (in particular the ‘rare events’) for asset allocation, derivative pricing and hedging, and risk control.</span></p><br />
<p> </p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Various financial instruments will be presented in a form familiar to Wall Street traders (i.e. Bloomberg screens). The purpose of Risk Management is to provide a valuation of these financial contracts ("pricing") and to provide various measures of risk and methods to hedge these risks as best as possible ("hedging"). These tasks are not just performed by "Risk Managers" but by "Traders" who price and hedge their respective trading books on a daily basis. Successful trading (over extended periods of time) comes down to successful risk management. Successful risk management comes down to robust valuation which is the main prerogative of Financial Engineering. Valuation of financial instruments begins with an analysis of possible future events (i.e. stock price moves, interest rate moves, defaults, etc.). Dealing with the future involves the mathematics of statistics and probability. The first step is to find a probability distribution that is suitable for the financial instrument at hand. The next step is to calibrate this distribution. The third step is to generate future events using this calibrated distribution and based on this, provide the necessary valuation and risk measures for the financial contract at hand. The failure of any of these steps can lead to incorrect valuation and therefore an incorrect assessment of the risks of the financial instrument under consideration.</span></p><br />
<p><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"><strong>COURSE REQUIREMENTS</strong></span></p><br />
<p><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;">All the homework assignments require the use of Excel with the following properties:</span></p><br />
<p><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;">1) Functions:</span></p><br />
<p><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"> a. Offset()</span></p><br />
<p><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"> b. Rand()</span></p><br />
<p><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"> c. Norminv()</span></p><br />
<p><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"> d. Skew(), Kurt(), Average(), Stdev(), Frequency()</span></p><br />
<p><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"> e. Gammaln()</span></p><br />
<p><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;">2) Data Analysis Function: Histogram</span></p><br />
<p><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"><strong>Attention Apple Users</strong>: Even though you may have Excel, the above functionality does not come with all Apple versions of Excel so you better check to see what your Excel provides.</span></p><br />
<p><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"> <strong> Attendance</strong> Required</span></p><br />
<p><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"> <strong>Participation</strong> Required</span></p><br />
<p><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"> <strong>Homework</strong> Mostly in Excel.</span></p><br />
<p><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"> <strong>Exams</strong> In-class and closed book</span></p><br />
<p> </p><br />
<p><span style="font-size: 10.5pt; line-height: 107%; font-family: Arial, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;">Homework assignments must be uploaded to the Canvas shell of the course.</span></p><br />
<p> </p><br />
<br />
|Textbook = <br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"><em>Practical Methods of Financial Engineering and Risk Management</em>, Rupak Chatterjee, Apress-Springer, 2014.</span></p><br />
<br />
|Reading = <br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"><em>Risk Management and Financial Institutions,</em> John Hull, John Wiley &amp; Sons, 2012.</span></p><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"><em>Monte Carlo Methods in Financial Engineering,</em> Paul Glasserman, Springer-Verlag, 2004.</span></p><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"><em>Fixed Income Securities</em>, 3rd Edition, Bruce Tuckman &amp; Angel Serrat, Wiley Finance, 2012.</span></p><br />
<br />
|GradingPolicy = <br />
<p><span style="font-size: 10pt; font-family: Arial, sans-serif;">Gareds will be based on:</span></p><br />
<p><span style="font-size: 10pt; font-family: Arial, sans-serif;">20% Homeworks</span></p><br />
<p>30% Midterm</p><br />
<p>50% Final Exam</p><br />
<h2><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"><strong>EXAM ROOM CONDITIONS</strong></span></h2><br />
<h2><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">The following procedures apply to exams for this course. As the instructor, I reserve the right to modify </span><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">any conditions set forth below by printing revised Exam Room Conditions on the exam.</span></h2><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">1. </span>Students may <strong>not</strong> use the following devices during exams. Any electronic devices that are not mentioned in the list below are also <strong>not</strong> permitted.</p><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Laptops</span></p><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Cell Phones</span></p><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Tablets</span></p><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Smart Watches</span></p><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Google Glass</span></p><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Other</span></p><br />
<h2><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">2. Students may <strong>not</strong> use the following materials during exams. Any materials that are <strong>not</strong> mentioned in the list below are also not permitted.</span></h2><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Handwritten Notes</span></p><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Typed Notes </span></p><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Textbooks </span></p><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Readings</span></p><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;"> Other</span></p> <br />
}}<br />
== Lecture Outline ==<br />
<table style="width: 1015px; height: 863px;"><br />
<br />
<tr><br />
<td style="width: 157px; text-align: center;"><br />
<p>Week Starting</p><br />
</td><br />
<td style="width: 416px; text-align: center;"><br />
<p>Readings</p><br />
</td><br />
<td style="width: 420px; text-align: center;"><br />
<p>Assignment</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 157px;"><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">August 28th</span></p><br />
</td><br />
<td style="width: 416px;"><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Chapter 1: Financial Instruments</span></p><br />
</td><br />
<td style="width: 420px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 157px;"><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">September 11th</span></p><br />
</td><br />
<td style="width: 416px;"><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Chapter 1 &amp; 2: Financial Instruments and </span>Building a Yield Curve</p><br />
</td><br />
<td style="width: 420px;"><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Problem 2.1:</span><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Building a LIBOR </span>Yield Curve</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 157px;"><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">September 18th</span></p><br />
</td><br />
<td style="width: 416px;"><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Chapter 1: Financial Instruments</span></p><br />
</td><br />
<td style="width: 420px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 157px;"><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">September 25th</span></p><br />
</td><br />
<td style="width: 416px;"><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Chapter 1: Financial Instruments</span></p><br />
</td><br />
<td style="width: 420px;"><br />
<p class="MsoNormal"><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;">Problem 1.1: </span><span style="font-size: 10pt; line-height: 107%; font-family: Verdana, sans-serif; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;">Black Formula Calculator and Implied Volatility</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 157px;"><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">October 2nd</span></p><br />
</td><br />
<td style="width: 416px;"><br />
<h2><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Chapter 3: Statistical Analysis of Financial Data </span></h2><br />
</td><br />
<td style="width: 420px;"><br />
<h2><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Problems 3.1-3.2: </span>Inverse Transform Method / Mixed Gaussians (method one and two)</h2><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 157px;"><br />
<h2><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">October 10</span><span style="line-height: 107%; font-family: Arial, sans-serif;">th<span style="font-size: 10pt;"> (TUESDAY)</span></span></h2><br />
</td><br />
<td style="width: 416px;"><br />
<h2><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Chapter 3: Statistical Analysis of Financial Data </span></h2><br />
</td><br />
<td style="width: 420px;"><br />
<h2><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Problems 3.3-3.4: </span><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Calibrate stock returns to a Mixed Gaussian and a Student t-Dist</span></h2><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 157px;"><br />
<h2><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">October 16</span>th</h2><br />
</td><br />
<td style="width: 416px;"><br />
<h2><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">MIDTERM</span></h2><br />
</td><br />
<td style="width: 420px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 157px;"><br />
<h2><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">October 23rd</span></h2><br />
</td><br />
<td style="width: 416px;"><br />
<h2><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Chapter 3: Statistical Analysis of Financial Data </span></h2><br />
</td><br />
<td style="width: 420px;"><br />
<h2><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Problems 3.5: Create a Skew Normal Dist</span></h2><br />
<h2><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Problems 3.6: VAR/CVAR </span></h2><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 157px;"><br />
<h2><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">October 30th</span></h2><br />
</td><br />
<td style="width: 416px;"><br />
<h2><span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Chapter 3: Statistical Analysis of Financial Data</span></h2><br />
</td><br />
<td style="width: 420px;"><br />
<h2>Problems 3.7: Term Structure of Skew, Kurt, Up &amp; Down Volatility </h2><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 157px;"><br />
<h2> <span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">November 6th</span></h2><br />
</td><br />
<td style="width: 416px;"><br />
<h2> <span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Chapter 4: Stochastic Processes</span></h2><br />
</td><br />
<td style="width: 420px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 157px;"><br />
<h2> <span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">November 13th</span></h2><br />
</td><br />
<td style="width: 416px;"><br />
<h2> <span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Chapter 4: Stochastic Processes</span></h2><br />
</td><br />
<td style="width: 420px;"><br />
<h2>Problems 4.1: Brownian Motion MC Simulator</h2><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 157px;"><br />
<h2> <span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">November 20th</span></h2><br />
</td><br />
<td style="width: 416px;"><br />
<h2> <span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Chapter 4: Stochastic Processes </span></h2><br />
</td><br />
<td style="width: 420px;"><br />
<h2> <span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Problem 4.2: Ito’s Lemma</span></h2><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 157px;"><br />
<h2> <span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">November 27th</span></h2><br />
</td><br />
<td style="width: 416px;"><br />
<h2> <span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Chapter 4: Statistical Modeling of Trading Strategies</span></h2><br />
</td><br />
<td style="width: 420px;"><br />
<h2> <span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Problem 4.3: GARCH(1,1)</span></h2><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 157px;"><br />
<h2> <span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Dec 4th</span></h2><br />
</td><br />
<td style="width: 416px;"><br />
<h2> <span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Chapter 4: Statistical Modeling of Trading Strategies</span></h2><br />
</td><br />
<td style="width: 420px;"><br />
<h2> <span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Problem 4.5: Pairs Trading</span></h2><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 157px;"><br />
<h2> <span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">Dec 11th</span></h2><br />
</td><br />
<td style="width: 416px;"><br />
<h2> <span style="font-size: 10pt; line-height: 107%; font-family: Arial, sans-serif;">FINAL EXAM (not yet confirmed)</span></h2><br />
</td><br />
<td style="width: 420px;"> </td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE530_Introduction_to_Financial_Engineering&diff=4961
FE530 Introduction to Financial Engineering
2018-02-21T21:30:33Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Saverio Minervini]]<br />
|Email = sminervi@stevens.edu<br />
|Phone = (201) 446 6031<br />
|Office = <br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Saverio_Minervini.jpg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
BC320<br />
|Classtime = <br />
Thursday 06:15-08:45PM<br />
|Opening_Term = Fall On Campus<br />
<br />
|Course_Intro =<br />
<br />
<br />
|Outcomes = <br />
<p>Build up the basic knowledge of the capital markets, various financial instruments as key concepts in risk management.</p><br />
<br />
|Description = <br />
<p>The main topics include: equities, fixed‐ income securities, options, futures and other derivatives. Also, we will discuss about their pricing models and investment strategies. </p><br />
<br />
|Textbook = <br />
<p>There are no required textbooks for this course, and I will cover the material in class with class notes, which will be posted before each class.</p><br />
<br />
|Reading = <br />
<p>(NOT REQUIRED)</p><br />
<ul><br />
<li>John Hull, Options, Futures, and Other Derivatives, (ISBN-13: 978-0133456318)</li><br />
<li>Damodaran on Valuation: Security Analysis for Investment and Corporate Finance (ISBN-13: 978- 0471751212)</li><br />
<li>Frank J. Fabozzi, Fixed Income Analysis, (ISBN-13: 978-0470052211)</li><br />
<li>Helyette Geman, Commodities and Commodity Derivatives: Modeling and Pricing for Agriculturals, Metals and Energy (ISBN-13: 978-0470012185)</li><br />
</ul><br />
<br />
|GradingPolicy = <br />
<ul><br />
<li>Class Participation: 15%</li><br />
<li>Assignments: 15%</li><br />
<li>Research Project: 70% </li><br />
</ul><br />
<p> </p><br />
<p> </p> <br />
}}<br />
== Lecture Outline ==<br />
<table style="height: 233px; width: 600px;" border="1"><br />
<br />
<tr style="height: 15px;"><br />
<td style="width: 118px; height: 15px; text-align: center;">Week </td><br />
<td style="width: 248px; height: 15px; text-align: center;">Date</td><br />
<td style="width: 310px; height: 15px; text-align: center;">Subject</td><br />
</tr><br />
<tr style="height: 37px;"><br />
<td style="width: 118px; height: 37px; text-align: center;"><br />
<p>1</p><br />
</td><br />
<td style="width: 248px; height: 37px; text-align: center;">1-Sep-16</td><br />
<td style="width: 310px; height: 37px; text-align: center;">Introduction to Financial Engineering &amp; Capital Markets Overview</td><br />
</tr><br />
<tr style="height: 37px;"><br />
<td style="width: 118px; height: 37px; text-align: center;"><br />
<p>2</p><br />
</td><br />
<td style="width: 248px; height: 37px; text-align: center;">8-Sep-16</td><br />
<td style="width: 310px; height: 37px; text-align: center;">Capital Markets Overview</td><br />
</tr><br />
<tr style="height: 37px;"><br />
<td style="width: 118px; height: 37px; text-align: center;"><br />
<p>3</p><br />
</td><br />
<td style="width: 248px; height: 37px; text-align: center;">15-Sep-16</td><br />
<td style="width: 310px; height: 37px; text-align: center;">Corporate Finance &amp; Valuation </td><br />
</tr><br />
<tr style="height: 37px;"><br />
<td style="width: 118px; height: 37px; text-align: center;"><br />
<p>4</p><br />
</td><br />
<td style="width: 248px; height: 37px; text-align: center;">22-Sep-16</td><br />
<td style="width: 310px; height: 37px; text-align: center;">Equity Analysis</td><br />
</tr><br />
<tr style="height: 37px;"><br />
<td style="width: 118px; height: 37px; text-align: center;"><br />
<p>5</p><br />
</td><br />
<td style="width: 248px; height: 37px; text-align: center;">29-Sep-16</td><br />
<td style="width: 310px; height: 37px; text-align: center;">Fixed Income Debt Securities </td><br />
</tr><br />
<tr style="height: 37px;"><br />
<td style="width: 118px; height: 37px; text-align: center;"><br />
<p>6</p><br />
</td><br />
<td style="width: 248px; height: 37px; text-align: center;">6-Oct-16</td><br />
<td style="width: 310px; height: 37px; text-align: center;">Overview of Bonds Sectors &amp; Instruments</td><br />
</tr><br />
<tr style="height: 37px;"><br />
<td style="width: 118px; height: 37px; text-align: center;"><br />
<p>7</p><br />
</td><br />
<td style="width: 248px; height: 37px; text-align: center;">13-Oct-16</td><br />
<td style="width: 310px; height: 37px; text-align: center;">Valuation of Debt Securities</td><br />
</tr><br />
<tr style="height: 37px;"><br />
<td style="width: 118px; height: 37px; text-align: center;"><br />
<p>8</p><br />
</td><br />
<td style="width: 248px; height: 37px; text-align: center;">20-Oct-16</td><br />
<td style="width: 310px; height: 37px; text-align: center;">Securitized Products</td><br />
</tr><br />
<tr style="height: 37px;"><br />
<td style="width: 118px; height: 37px; text-align: center;"><br />
<p>9</p><br />
</td><br />
<td style="width: 248px; height: 37px; text-align: center;">27-Oct-16</td><br />
<td style="width: 310px; height: 37px; text-align: center;">Leveraged Loans &amp; CLO's</td><br />
</tr><br />
<tr style="height: 32px;"><br />
<td style="width: 118px; height: 32px; text-align: center;"><br />
<p>10</p><br />
</td><br />
<td style="width: 248px; height: 32px; text-align: center;">3-Nov-16</td><br />
<td style="width: 310px; height: 32px; text-align: center;">General Principles of Credit Analysis</td><br />
</tr><br />
<tr style="height: 37px;"><br />
<td style="width: 118px; height: 37px; text-align: center;"><br />
<p>11</p><br />
</td><br />
<td style="width: 248px; height: 37px; text-align: center;">10-Nov-16</td><br />
<td style="width: 310px; height: 37px; text-align: center;">Foreign Exchange</td><br />
</tr><br />
<tr style="height: 37px;"><br />
<td style="width: 118px; height: 37px; text-align: center;"><br />
<p>12</p><br />
</td><br />
<td style="width: 248px; height: 37px; text-align: center;">17-Nov-16</td><br />
<td style="width: 310px; height: 37px; text-align: center;">Commodities</td><br />
</tr><br />
<tr style="height: 37px;"><br />
<td style="width: 118px; height: 37px; text-align: center;"><br />
<p>13</p><br />
</td><br />
<td style="width: 248px; height: 37px; text-align: center;">24-Nov-16</td><br />
<td style="width: 310px; height: 37px; text-align: center;">Derivatives &amp; Options</td><br />
</tr><br />
<tr style="height: 37px;"><br />
<td style="width: 118px; height: 37px; text-align: center;"><br />
<p>14</p><br />
</td><br />
<td style="width: 248px; height: 37px; text-align: center;">1-Dec-16</td><br />
<td style="width: 310px; height: 37px; text-align: center;">Derivatives &amp; Options </td><br />
</tr><br />
<tr style="height: 37px;"><br />
<td style="width: 118px; height: 37px; text-align: center;"><br />
<p>15</p><br />
</td><br />
<td style="width: 248px; height: 37px; text-align: center;">8-Dec-16</td><br />
<td style="width: 310px; height: 37px; text-align: center;">Alternative Investments </td><br />
</tr><br />
<tr style="height: 37px;"><br />
<td style="width: 118px; height: 37px; text-align: center;"><br />
<p>16</p><br />
</td><br />
<td style="width: 248px; height: 37px; text-align: center;">15-Dec-16</td><br />
<td style="width: 310px; height: 37px; text-align: center;">Research Presentations</td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE610_Stochastic_Calculus_for_Financial_Engineers&diff=4956
FE610 Stochastic Calculus for Financial Engineers
2018-02-20T23:31:11Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Thomas Lonon]]<br />
|Email = tlonon@stevens.edu<br />
|Phone = <br />
|Office = Altofer 301<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Thomas_Lonon.jpg<br />
|Office_Hour = W 12:00-02:00PM|Name2 = [[Papa Ndiaye]]<br />
|Email2 = Papa.Ndiaye@stevens.edu<br />
|Phone2 = <br />
|Office2 = <br />
|Photo_file2 = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Ndiaye_9199.jpg<br />
|Office_Hour2 = W 12:00-02:00PM<br />
<br />
|Classroom = <br />
Hanlon Lab 1 & M<br />
|Classtime = <br />
M 06:15-08:45PM & T 03:00-05:30PM & R 03:00-05:30PM <br />
|Opening_Term = Fall On Campus, Spring On Campus<br />
<br />
|Course_Intro =<br />
This course is designed for first year graduate students in Financial Engineering. The goal is to learn the foundation on which Financial engineering is built upon. It is highly recommended that students have a strong background in applied mathematics (analysis) and probability. This is a core course for all programs in Financial Engineering.<br />
<br />
|Outcomes = <br />
<p>At the end of this course, students will be able to:</p><br />
<p>1. classify stochastic processes as martingales, Markov, or both/neither</p><br />
<p>2. simplify stochastic (Ito) integrals</p><br />
<p>3. determine the differentials of functions of stochastic processes</p><br />
<p>4. change probability measures to facilitate pricing of derivatives</p><br />
<p>5. solve stochastic differential equations through transformations to partial differential equations.</p><br />
<p> </p><br />
<br />
|Description = <br />
<p class="MsoNormal" style="margin-bottom: .05in; line-height: normal;"><b><span style="font-size: 10pt; font-family: Arial, sans-serif;">Homeworks</span></b></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">There will be around 5 homework assignments throughout the semester. Collaboration is encouraged as it can be helpful to understand some of these concepts. Do not confuse collaboration for academic misconduct. Attempt each problem on your own before seeking help from another person. Make sure that you understand the entire assignment that you turn in, and could reproduce the work or solve a similar problem. Do not think that you can simply copy another person's assignment and expect to understand the material. Late homeworks will be accepted under the following policy. If the homework is turned in within one week of the original due date, it will receive of its score, going down by a third each week it is late. The homeworks will have a very firm deadline, of 11:55 PM on the due date. When I say this is a firm date, I mean that if a homework is submitted online at 11:56 PM, its late, no exceptions. Plan ahead and submit your homework early to avoid problems due to internet or computer issues.</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Homework assignments can be considered to consist of two separate components. The required component which will be graded, and the recommended component which will just be scanned to confirm it was attempted. Both parts need to be your own work and should not be copied in any way. For the recommended part, if all of the problems are attempted, you can earn up to 5 bonus points per assignment.</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><b><span style="font-size: 10pt; font-family: Arial, sans-serif;">Exams</span></b></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">There will be one midterm and one final exam given in the class. If you miss an exam, you must provide a written explanation signed by proper authorities in order to be allowed the chance to take a replacement exam. If you just don't show up for an exam you will receive a 0, no exceptions (again unless you have a valid note). Do not schedule your final flight home or to anywhere else until you see the final exam schedule posted on the registrar's website (not the date posted within Canvas, that is just an old date). The midterm and final exam are closed book, but each student can bring one hand written page of notes to the midterm and two hand written pages of notes to the final. Calculators are permitted and encouraged, but cell phones and notebook computers are not allowed.</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><b><span style="font-size: 10pt; font-family: Arial, sans-serif;">Extensions and Re-submits</span></b></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">It is my policy to never give a student an extension after a deadline is missed. You know before you actually miss a deadline that you will miss the deadline. If you reach out to me before an assignment is due and let me know why you will miss the deadline, if its a valid reason (and this does not have to include medical issues, I realize that sometimes life just gets in the way) I have no problem providing an extension if necessary.</span></p><br />
<p style="color: #000000; background-image: none; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial; margin: 0px 0px 0.3em; overflow: hidden; padding-top: 0.5em; padding-bottom: 0.17em; border-bottom: none; width: auto; font-size: 16.896px; font-family: sans-serif;"> </p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">I will under very rare circumstances allow a student to re-submit an assignment that has already been submitted, but it is my policy to not allow a re-submit of an assignment once it has been graded. Once the assignment has been graded, you now possess much better information than the average student and it is therefore unfair to the others in the class to allow this.</span></p><br />
<br />
|Textbook = <br />
<p><em>Stochastic Calculus for Finance vol II,</em> by Steven E. Shreve, Springer Finance, 2004, ISBN-13: 978-0387401010 (vol II).</p><br />
<br />
|Reading = <br />
<p><span style="color: #000000; font-family: sans-serif;"><span style="font-size: 14px;"><em>Stochastic Calculus for Finance vol I</em>, by Steven E. Shreve, Springer Finance, 2004, ISBN-13: 978-0387249681 (vol I).</span></span></p><br />
<p><span style="color: #000000; font-family: sans-serif;"><span style="font-size: 14px;"><em>Introduction to Probability Models, 10th edition</em>, by Sheldon M. Ross, Academic Press, 2009, ISBN-10: 0123756863, ISBN-13: 978-0123756862.</span></span></p><br />
<p><span style="color: #000000; font-family: sans-serif;"><span style="font-size: 14px;"><em> Probability and Random Processes</em>, by Geoffrey Grimmett and David Stirzaker, Oxford University Press 2001.</span></span></p><br />
<p><span style="color: #000000; font-family: sans-serif;"><span style="font-size: 14px;"><em>Stochastic Integration and Differential Equations</em>, by Philip E. Protter, Springer 2005. ISBN-13: 9783642055607</span></span></p><br />
<p><span style="color: #000000; font-family: sans-serif;"><span style="font-size: 14px;"><em> Stochastic Differential Equation</em>, by Bernt Oksendal, 6th edition, 2010, ISBN-10: 3540047581, ISBN-13: 978-3540047582</span></span></p><br />
<p><span style="color: #000000; font-family: sans-serif;"><span style="font-size: 14px;"><em> Introduction to the Mathematics of Financial Derivatives</em>, by by Salih N Neftci, 2nd ed, </span></span><span style="color: #000000; font-family: sans-serif;"><span style="font-size: 14px;">Associated Press, 2000, ISBN 0125153929.</span></span></p><br />
<br />
|GradingPolicy = <br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">The final grade in the class will be determined in the following manner:</span></p><br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">20% Homework </span></p><br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">30% Midterm </span></p><br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">50% Final Exam</span></p><br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">Please note that your grade will be determined solely on the work you present over the course of the semester. No consideration such as your need for a better grade will be considered.</span></p><br />
<p><span style="font-size: 14px;"><strong><span style="color: #000000; font-family: sans-serif;">Extra Credit</span></strong></span></p><br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">Possibly on the exams, there will be the occasional extra credit problem. This is the only source of extra credit for the course. There are no "extra assignments" that students can do to raise their average outside of the ones assigned. There are no exceptions, don't even bother coming to me and asking about extra work and the end of the semester, as I will only direct your attention to this part of the syllabus.</span></p><br />
<p> </p><br />
<table class="MsoNormalTable" style="border-collapse: collapse; border: none; height: 278px; width: 225px;" border="1" cellspacing="0" cellpadding="0"><br />
<tbody><br />
<tr><br />
<td style="width: 93px; border: 1pt solid windowtext; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal" style="text-align: center;" align="center">Assignment</p><br />
</td><br />
<td style="width: 102px; border-top: 1pt solid windowtext; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-image: initial; border-left: none; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">Grade Percent</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 93px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">HW1</p><br />
</td><br />
<td style="width: 102px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">4%</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 93px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">HW2</p><br />
</td><br />
<td style="width: 102px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">4%</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 93px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">HW3</p><br />
</td><br />
<td style="width: 102px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">4%</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 93px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">HW4</p><br />
</td><br />
<td style="width: 102px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">4%</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 93px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">HW5</p><br />
</td><br />
<td style="width: 102px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">4%</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 93px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">Total Grade</p><br />
</td><br />
<td style="width: 102px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">20%</p><br />
</td><br />
</tr><br />
</tbody><br />
</table><br />
<p class="MsoNormal"> </p> <br />
}}<br />
== Lecture Outline ==<br />
<table class="MsoNormalTable" style="border-collapse: collapse; border: none; width: 728px;" border="1" cellspacing="0" cellpadding="0"><br />
<br />
<tr style="mso-yfti-irow: 0; mso-yfti-firstrow: yes; height: 12.75pt;"><br />
<td style="width: 88px; border: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal"> </p><br />
</td><br />
<td style="width: 525px; border-top: 1pt solid windowtext; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-image: initial; border-left: none; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal" style="text-align: center; tab-stops: 110.0pt 170.0pt 245.0pt 345.0pt;" align="center"><b>Topic(s)</b></p><br />
</td><br />
<td style="width: 79px; border-top: 1pt solid windowtext; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-image: initial; border-left: none; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal" style="text-align: center; tab-stops: 110.0pt 170.0pt 245.0pt 345.0pt;" align="center"><b>Reading(s)</b></p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 1; height: 12.75pt;"><br />
<td style="width: 88px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Week 1</p><br />
</td><br />
<td style="width: 525px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Probability review: Random variables and vectors. Stochastic processes.</p><br />
</td><br />
<td style="width: 79px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Ch. 1 and 2</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 2; height: 12.75pt;"><br />
<td style="width: 88px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Week 2</p><br />
</td><br />
<td style="width: 525px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Random walk. Brownian motion.</p><br />
</td><br />
<td style="width: 79px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Ch. 3</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 3; height: 12.75pt;"><br />
<td style="width: 88px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Week 3</p><br />
</td><br />
<td style="width: 525px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Markov Property, Reflection Principle and Passage Times</p><br />
</td><br />
<td style="width: 79px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Ch. 3</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 4; height: 12.75pt;"><br />
<td style="width: 88px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Week 4</p><br />
</td><br />
<td style="width: 525px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Stochastic Calculus(Integrands)</p><br />
</td><br />
<td style="width: 79px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Ch. 4</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 5; height: 12.75pt;"><br />
<td style="width: 88px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Week 5</p><br />
</td><br />
<td style="width: 525px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal" style="text-align: left;" align="center">Ito lemma and applications</p><br />
</td><br />
<td style="width: 79px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Ch. 4</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 6; height: 12.75pt;"><br />
<td style="width: 88px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Week 6</p><br />
</td><br />
<td style="width: 525px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Black-Scholes-Merton Model</p><br />
</td><br />
<td style="width: 79px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Ch. 4</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 7; height: 12.75pt;"><br />
<td style="width: 88px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Week 7</p><br />
</td><br />
<td style="width: 525px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Multivariable Stochastic Calculus</p><br />
</td><br />
<td style="width: 79px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Ch. 4</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 8; height: 12.75pt;"><br />
<td style="width: 88px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Week 8</p><br />
</td><br />
<td style="width: 525px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Midterm</p><br />
</td><br />
<td style="width: 79px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal"> </p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 9; height: 12.75pt;"><br />
<td style="width: 88px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Week 9</p><br />
</td><br />
<td style="width: 525px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Risk-Neutral Measure and Girsanov</p><br />
</td><br />
<td style="width: 79px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Ch. 5</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 10; height: 12.75pt;"><br />
<td style="width: 88px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Week 10</p><br />
</td><br />
<td style="width: 525px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Multidimensional Stock Model</p><br />
</td><br />
<td style="width: 79px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Ch. 5</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 11; height: 12.75pt;"><br />
<td style="width: 88px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Week 11</p><br />
</td><br />
<td style="width: 525px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">PDE's and SDE's</p><br />
</td><br />
<td style="width: 79px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Ch. 6</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 12; height: 12.75pt;"><br />
<td style="width: 88px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Week 12</p><br />
</td><br />
<td style="width: 525px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Poisson Processes and Jump Diffusion</p><br />
</td><br />
<td style="width: 79px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Ch. 11</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 13; height: 12.75pt;"><br />
<td style="width: 88px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Week 13</p><br />
</td><br />
<td style="width: 525px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Exotic Options</p><br />
</td><br />
<td style="width: 79px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Ch. 7</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 14; mso-yfti-lastrow: yes; height: 12.75pt;"><br />
<td style="width: 88px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Week 14</p><br />
</td><br />
<td style="width: 525px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal">Review &amp; Catch-up</p><br />
</td><br />
<td style="width: 79px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap"><br />
<p class="MsoNormal"> </p><br />
</td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE529_GPU_Computing_in_Finance&diff=4954
FE529 GPU Computing in Finance
2018-02-15T20:33:48Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Parisa Golbayani ]]<br />
|Email = <br />
|Phone = <br />
|Office = <br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/ParisaG.jpg<br />
|Office_Hour = |Name2 = [[Gary Engler]]<br />
|Email2 = genegler@stevens.edu<br />
|Phone2 = <br />
|Office2 = Kidde<br />
|Photo_file2 = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/GE.JPG<br />
|Office_Hour2 = <br />
<br />
|Classroom = <br />
<br />
|Classtime = <br />
<br />
|Opening_Term = Spring On Campus<br />
<br />
|Course_Intro =<br />
In this course the students will learn the basics of CUDA programming using financial data and applications. They will learn how to use C++, Matlab and R to access the GPU in their computer and to use the Stevens GPU cluster. The course is designed for Nvidia CUDA but the basics are easily transferable to Open CL. <br />
<br />
|Outcomes = <br />
<p class="MsoNormal" style="tab-stops: 110.0pt 170.0pt 245.0pt 345.0pt 400.0pt right 465.0pt; margin: 12.0pt 0in 12.0pt 0in;">After completing the course, students will be able to:</p><br />
<p class="MsoListParagraphCxSpFirst" style="mso-add-space: auto; text-indent: -.25in; mso-list: l0 level1 lfo1; tab-stops: 110.0pt 170.0pt 245.0pt 345.0pt 400.0pt right 465.0pt; margin: 12.0pt 0in 12.0pt .5in;"><!-- [if !supportLists]-->1.<span style="font-variant-numeric: normal; font-stretch: normal; font-size: 7pt; line-height: normal; font-family: 'Times New Roman';"> </span><!--[endif]-->Gain basic knowledge of parallel programming;</p><br />
<p class="MsoListParagraphCxSpMiddle" style="mso-add-space: auto; text-indent: -.25in; mso-list: l0 level1 lfo1; tab-stops: 110.0pt 170.0pt 245.0pt 345.0pt 400.0pt right 465.0pt; margin: 12.0pt 0in 12.0pt .5in;"><!-- [if !supportLists]-->2.<span style="font-variant-numeric: normal; font-stretch: normal; font-size: 7pt; line-height: normal; font-family: 'Times New Roman';"> </span><!--[endif]-->Understand the memory management and data transfer methodology in CUDA;</p><br />
<p> 3.<span style="font-variant-numeric: normal; font-stretch: normal; font-size: 7pt; line-height: normal; font-family: 'Times New Roman';"> </span><!--[endif]-->Program simple financial models using CUDA platform.</p><br />
<br />
|Description = <br />
<p><span style="font-family: 'Times New Roman', serif; font-size: 12pt;">Parallel programming using GPU’s is a relatively new area for multithreaded programming. It requires a certain amount of extra knowledge even for the most accomplished programmers. The objective of the course is to provide this extra for our students. Our students will be very well prepared for their future programming and software developing jobs by completing this course. This course is the first </span><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">of a sequence of advanced programming courses that at the moment do not exist in any financial program at any US institution. This sequence of courses (if realized) in 5 years will make Stevens the top US institution for financial programming. It is easy to see then that the students completing this course will gain unique skills that will put them on top of other graduates.</span></p><br />
<br />
|Textbook = <br />
<p><!-- [if supportFields]><span style='font-size:12.0pt;<br />
font-family:"Times New Roman",serif;mso-fareast-font-family:"Times New Roman";<br />
mso-ansi-language:EN-US;mso-fareast-language:EN-US;mso-bidi-language:AR-SA'><span<br />
style='mso-element:field-begin'></span><span style='mso-bookmark:Text8'><span<br />
style='mso-spacerun:yes'> </span>FORMTEXT <span style='mso-element:field-separator'></span></span></span><![endif]--><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;"><!-- [if !supportNestedAnchors]--><!--[endif]-->Sanders, Jason, and Edward Kandrot. CUDA by example: an introduction to general-purpose GPU programming. Addison-Wesley Professional, 2010. https://developer.nvidia.com/cuda-example<!-- [if gte mso 9]><xml><br />
<w:data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w:data><br />
</xml><![endif]--></span><!-- [if supportFields]><span style='font-size:<br />
12.0pt;font-family:"Times New Roman",serif;mso-fareast-font-family:"Times New Roman";<br />
mso-ansi-language:EN-US;mso-fareast-language:EN-US;mso-bidi-language:AR-SA'><span<br />
style='mso-element:field-end'></span></span><![endif]--></p><br />
<br />
|Reading = <br />
<br />
<br />
|GradingPolicy = <br />
<p><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">HW 40% Class work 20% Projects 40% </span></p> <br />
}}<br />
== Lecture Outline ==<br />
<table style="height: 506px;" border="1" width="600"><br />
<br />
<tr style="height: 30px;"><br />
<td style="width: 96px; height: 30px;"> </td><br />
<td style="width: 96px; height: 30px;">Topic(s)</td><br />
<td style="width: 96px; height: 30px;">Reading(s)</td><br />
<td style="width: 96px; height: 30px;">Class Exercises (Optional)</td><br />
<td style="width: 97px; height: 30px;">HW</td><br />
</tr><br />
<tr style="height: 221px;"><br />
<td style="width: 96px; height: 221px;">Week 1</td><br />
<td style="width: 96px; height: 221px;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-bidi-font-family: Calibri; mso-bidi-theme-font: minor-latin; color: black; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Introduction to massively parallel programming and CUDA</span></td><br />
<td style="width: 96px; height: 221px;"><br />
<ul style="margin-top: 0in;" type="disc"><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">CUDA environment configuration</li><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">GPU Computing Overview</li><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">Why is parallel computing important?</li><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">What is CUDA?</li><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">Host vs Device</li><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">Compiling on Linux</li><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">Sample example using CUDA </li><br />
</ul><br />
</td><br />
<td style="width: 96px; height: 221px;"> </td><br />
<td style="width: 97px; height: 221px;"> </td><br />
</tr><br />
<tr style="height: 146px;"><br />
<td style="width: 96px; height: 146px;">Week 2</td><br />
<td style="width: 96px; height: 146px;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-bidi-font-family: Calibri; mso-bidi-theme-font: minor-latin; color: black; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Vector Addition</span></td><br />
<td style="width: 96px; height: 146px;"><br />
<ul style="margin-top: 0in;" type="disc"><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">Thread, block, grid</li><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">Choosing Size</li><br />
</ul><br />
</td><br />
<td style="width: 96px; height: 146px;"> </td><br />
<td style="width: 97px; height: 146px;"><br />
<p class="MsoNormal">HW1</p><br />
<p class="MsoNormal">Due</p><br />
</td><br />
</tr><br />
<tr style="height: 101px;"><br />
<td style="width: 96px; height: 101px;">Week 3</td><br />
<td style="width: 96px; height: 101px;">Classes and Structs on Device</td><br />
<td style="width: 96px; height: 101px;"><br />
<ul style="margin-top: 0in;" type="disc"><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">Classes and Structs</li><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">Julia and Mandelbrot Examples</li><br />
</ul><br />
</td><br />
<td style="width: 96px; height: 101px;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Class Exercise</span></td><br />
<td style="width: 97px; height: 101px;"> </td><br />
</tr><br />
<tr style="height: 89px;"><br />
<td style="width: 96px; height: 89px;">Week 4</td><br />
<td style="width: 96px; height: 89px;">Events and Timing</td><br />
<td style="width: 96px; height: 89px;"><br />
<ul style="margin-top: 0in;" type="disc"><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">Measuring Performance </li><br />
</ul><br />
</td><br />
<td style="width: 96px; height: 89px;"> </td><br />
<td style="width: 97px; height: 89px;"> </td><br />
</tr><br />
<tr style="height: 86px;"><br />
<td style="width: 96px; height: 86px;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Week 5</span></td><br />
<td style="width: 96px; height: 86px;">Shared Memory and Atomic Operations</td><br />
<td style="width: 96px; height: 86px;"><br />
<ul style="margin-top: 0in;" type="disc"><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">Shared Memory</li><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;"><span style="font-size: 12.0pt; line-height: 107%; font-family: 'Segoe UI',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: #333333; mso-ansi-language: EN-US; mso-fareast-language: ZH-CN; mso-bidi-language: AR-SA;">Dot Product</span> </li><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">Atomic Operations</li><br />
</ul><br />
</td><br />
<td style="width: 96px; height: 86px;"> </td><br />
<td style="width: 97px; height: 86px;"><br />
<p class="MsoNormal">HW2</p><br />
<p class="MsoNormal">Due</p><br />
</td><br />
</tr><br />
<tr style="height: 86px;"><br />
<td style="width: 96px; height: 86px;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Week 6</span></td><br />
<td style="width: 96px; height: 86px;">Stencils and PDE intro</td><br />
<td style="width: 96px; height: 86px;"><br />
<ul style="margin-top: 0in;" type="disc"><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">Heat equation implementation </li><br />
</ul><br />
</td><br />
<td style="width: 96px; height: 86px;"><br />
<p class="MsoNormal">Class</p><br />
<span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Exercise</span></td><br />
<td style="width: 97px; height: 86px;"> </td><br />
</tr><br />
<tr style="height: 101px;"><br />
<td style="width: 96px; height: 101px;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Week 7</span></td><br />
<td style="width: 96px; height: 101px;">Numerical Methods - Partial Differential Equations</td><br />
<td style="width: 96px; height: 101px;"><br />
<ul style="margin-top: 0in;" type="disc"><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">how to parallel the computing strategy</li><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">Texture Memory</li><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">Explicit Method - Heat Equation</li><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">Explicit Method - Wave Equation</li><br />
</ul><br />
</td><br />
<td style="width: 96px; height: 101px;"> </td><br />
<td style="width: 97px; height: 101px;"> </td><br />
</tr><br />
<tr style="height: 15px;"><br />
<td style="width: 96px; height: 15px;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Week 8</span></td><br />
<td style="width: 96px; height: 15px;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-bidi-font-family: Calibri; mso-bidi-theme-font: minor-latin; color: black; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Black-Scholes Model</span></td><br />
<td style="width: 96px; height: 15px;"><br />
<ul style="margin-top: 0in;" type="disc"><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">GPU Simulation</li><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">Use PDE to solve BS equation</li><br />
</ul><br />
</td><br />
<td style="width: 96px; height: 15px;"> </td><br />
<td style="width: 97px; height: 15px;"><br />
<p class="MsoNormal">HW3</p><br />
<p class="MsoNormal">Due</p><br />
</td><br />
</tr><br />
<tr style="height: 15px;"><br />
<td style="width: 96px; height: 15px;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Week 9</span></td><br />
<td style="width: 96px; height: 15px;">cuRAND</td><br />
<td style="width: 96px; height: 15px;"><br />
<ul style="margin-top: 0in;" type="disc"><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">Generating and Using Pseudo-random Numbers</li><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;"><span style="color: #000000;">https://developer.nvidia.com/curand </span></li><br />
</ul><br />
</td><br />
<td style="width: 96px; height: 15px;"> </td><br />
<td style="width: 97px; height: 15px;"> </td><br />
</tr><br />
<tr style="height: 15px;"><br />
<td style="width: 96px; height: 15px;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Week 10</span></td><br />
<td style="width: 96px; height: 15px;">Option Pricing Models - Monte Carlo Methods</td><br />
<td style="width: 96px; height: 15px;"><br />
<ul><br />
<li>European Option Pricing with Monte Carlo simulation</li><br />
</ul><br />
<p> </p><br />
</td><br />
<td style="width: 96px; height: 15px;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Class Exercise</span></td><br />
<td style="width: 97px; height: 15px;"> </td><br />
</tr><br />
<tr style="height: 15px;"><br />
<td style="width: 96px; height: 15px;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Week 11</span></td><br />
<td style="width: 96px; height: 15px;">Generating Histograms from Real Data</td><br />
<td style="width: 96px; height: 15px;"> </td><br />
<td style="width: 96px; height: 15px;"> </td><br />
<td style="width: 97px; height: 15px;"><br />
<p class="MsoNormal">HW4</p><br />
<p class="MsoNormal">Due</p><br />
</td><br />
</tr><br />
<tr style="height: 15px;"><br />
<td style="width: 96px; height: 15px;"><span style="font-family: 'Times New Roman', serif; font-size: 16px;">Week 12</span></td><br />
<td style="width: 96px; height: 15px;">cuBLAS (1)</td><br />
<td style="width: 96px; height: 15px;"><br />
<ul style="margin-top: 0in;" type="disc"><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">Matrix Multiplication</li><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">Matrix Addition</li><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;"><span style="color: #000000;">https://developer.nvidia.com/cublas</span></li><br />
</ul><br />
</td><br />
<td style="width: 96px; height: 15px;"> </td><br />
<td style="width: 97px; height: 15px;"> </td><br />
</tr><br />
<tr style="height: 15px;"><br />
<td style="width: 96px; height: 15px;"><br />
<p class="MsoNormal"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Week 13</span></p><br />
</td><br />
<td style="width: 96px; height: 15px;">cuBLAS (2)</td><br />
<td style="width: 96px; height: 15px;"><br />
<ul style="margin-top: 0in;" type="disc"><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">Vector Operations</li><br />
<li class="MsoNormal" style="color: black; mso-list: l0 level1 lfo1; mso-layout-grid-align: none; text-autospace: none;">https://developer.nvidia.com/cublas</li><br />
</ul><br />
</td><br />
<td style="width: 96px; height: 15px;"><br />
<p class="MsoNormal">Class</p><br />
<span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Exercise</span></td><br />
<td style="width: 97px; height: 15px;"> </td><br />
</tr><br />
<tr style="height: 15px;"><br />
<td style="width: 96px; height: 15px;"><br />
<p class="MsoNormal"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Week 14</span></p><br />
</td><br />
<td style="width: 96px; height: 15px;"><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-bidi-font-family: Calibri; mso-bidi-theme-font: minor-latin; color: black; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Final Project</span></td><br />
<td style="width: 96px; height: 15px;"><br />
<ul><br />
<li>Final Project</li><br />
</ul><br />
</td><br />
<td style="width: 96px; height: 15px;"> </td><br />
<td style="width: 97px; height: 15px;"><br />
<p class="MsoNormal">Final</p><br />
<p class="MsoNormal">Project</p><br />
</td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE522_C%2B%2B_Programming_in_Finance&diff=4953
FE522 C++ Programming in Finance
2018-02-15T20:33:44Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Zheng Xing]]<br />
|Email = zxing@stevens.edu<br />
|Phone = <br />
|Office = <br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Zheng_Xing.jpg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
Hanlon Lab 1<br />
|Classtime = <br />
<br />
|Opening_Term = Fall On Campus, Spring On Campus<br />
<br />
|Course_Intro =<br />
C++ is a general-purpose programming language. It has imperative, object-oriented and generic programming features, while also providing facilities for low-level memory manipulation.<br />
<br />
|Outcomes = <br />
<br />
<br />
|Description = <br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">This course is designed for both graduate and undergraduate students. It aims to be an introduction to the C++ programming language, as well as to programming in general, including topics such as object-oriented programming and generic programming, with some basic applications in finance. No prior programming experience is required. Upon completion, students are expected to have proficient programming skills in C++ and to be able to apply these skills in any future courses and/or industry positions.</span></p><br />
<p> </p><br />
<br />
|Textbook = <br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;"><em>Programming: Principles and Practice Using C++.</em> Bjarne Stroustrup, Second Edition, 2014. ISBN-10: 0321992784, ISBN-13: 978-0321992789</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;"><em>C++ Primer Plus.</em> Stephen Prata, Sixth Edition, 2011. ISBN-10: 0321776402, ISBN-13: 978-0321776402</span></p><br />
<br />
|Reading = <br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">C++ Reference: http://en.cppreference.com/w/cpp</span></p><br />
<p> </p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">The C++ Language Tutorial: http://www.cplusplus.com/_les/tutorial.pdf</span></p><br />
<br />
|GradingPolicy = <br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">The final grade will be determined upon the student's performance in the drill exercises, homework assignments and exams. There will be two large assignments covering knowledge in programming, C++ and the application of such knowledge in financial engineering. You will have about 2 weeks to finish each assignment. The work tends to be programming intensive so an early start is necessary. Students will also be expected to complete one drill per chapter of the book studied, which account for a total of 20 drills if we are able to cover all proposed material. If more time is required to cover the initial chapters, we will adapt the schedule accordingly. Having a strong knowledge in the basics of programming is way more important than learning about specific functionality that the C++ standard library provides. Drills are step-by-step exercises which review the content just learned and make sure you to keep programming every week (the only way to learn how to code is coding). They will be due the Sunday of the following week after each chapter material is covered in class. Finally, there will be in-class open-book open-Internet midterm and final exams. Submissions to all drill exercises, homework assignments, and exams are to be done in Canvas and should include two _les: a .pdf report explaining the reasoning behind all your answers and a .zip containing any source codes. You should not submit any binary files. Make sure your code compiles and it will compile as well in the grader's computer. If it does not compile, we will not be able to evaluate it. </span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">All late submissions will be punished unless prior notice is given before the due date and it is approved. If your submission passes the due date for less than 24 hours, your highest score will be 67%; between 24 and 48 hours, your highest score will be 33%; and after 48 hours your submission will not be accepted. If outside circumstances are affecting your ability to perform in the course, you must contact the instructor before you fall behind. </span></p><br />
<p> </p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">You are encouraged to have discussions about everything except exam questions. Programming is not and should never be considered a lonely endeavor. That said, discussing is not the same as copying, and all code and reports must be written by yourself. Delivering solutions that were copied from another source and not developed by you is strictly forbidden. This kind of behavior will be considered as academic dishonesty/misconduct and will be dealt with according to the Stevens Honor Board policy.</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Drills 20%</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Assignments 30%</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Midterm 20%</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Final 30%</span></p> <br />
}}<br />
== Lecture Outline ==<br />
<table style="width: 726px; height: 206px;"><br />
<br />
<tr><br />
<td style="width: 208px;"><br />
<p class="MsoNormal" style="line-height: normal; text-align: center;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Week </span></p><br />
</td><br />
<td style="width: 391px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Topics </span></p><br />
</td><br />
<td style="width: 113px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Assignments</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 208px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">08/28 - 09/01</span></p><br />
</td><br />
<td style="width: 391px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Programming and “Hello, World!” &amp; Objects, Types, and Values</span></p><br />
</td><br />
<td style="width: 113px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 208px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">09/04 - 09/08</span></p><br />
</td><br />
<td style="width: 391px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Computation &amp; </span><span style="font-family: Tahoma, sans-serif; font-size: 10pt;">Errors</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
</td><br />
<td style="width: 113px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">D2, D3</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 208px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">09/11 - 09/15</span></p><br />
</td><br />
<td style="width: 391px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Writing a Program &amp; </span><span style="font-family: Tahoma, sans-serif; font-size: 10pt;">Completing a Program</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
</td><br />
<td style="width: 113px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">D4, D5</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 208px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">09/18 - 09/22</span></p><br />
</td><br />
<td style="width: 391px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Technicalities: Functions, etc. &amp; </span><span style="font-family: Tahoma, sans-serif; font-size: 10pt;">Technicalities: Classes, etc.</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
</td><br />
<td style="width: 113px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">D6, D7</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 208px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">09/25 - 09/29</span></p><br />
</td><br />
<td style="width: 391px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Input/Output Streams &amp; </span><span style="font-family: Tahoma, sans-serif; font-size: 10pt;">Customizing I/O</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
</td><br />
<td style="width: 113px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">D8, D9</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 208px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">10/02 - 10/06</span></p><br />
</td><br />
<td style="width: 391px;">TBD</td><br />
<td style="width: 113px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">D10, D11, </span><span style="font-family: Tahoma, sans-serif; font-size: 10pt;">A1</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 208px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">10/10 - 10/14</span></p><br />
</td><br />
<td style="width: 391px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">A1 Review &amp; </span><span style="font-family: Tahoma, sans-serif; font-size: 10pt;">Midterm</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
</td><br />
<td style="width: 113px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 208px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">10/16 - 10/20</span></p><br />
</td><br />
<td style="width: 391px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">A Display Model &amp; </span><span style="font-family: Tahoma, sans-serif; font-size: 10pt;">Graphics Classes</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
</td><br />
<td style="width: 113px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">D12, D13</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 208px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">10/23 - 10/27</span></p><br />
</td><br />
<td style="width: 391px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Graphing Functions and Data &amp; </span><span style="font-family: Tahoma, sans-serif; font-size: 10pt;">Graphical User Interfaces</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
</td><br />
<td style="width: 113px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">D14, D15</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 208px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">10/30 - 11/03</span></p><br />
</td><br />
<td style="width: 391px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Graphical User Interfaces &amp; </span><span style="font-family: Tahoma, sans-serif; font-size: 10pt;">Vector and Free Store</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
</td><br />
<td style="width: 113px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">D14, D15</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 208px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">11/06 - 11/10</span></p><br />
</td><br />
<td style="width: 391px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Vectors and Arrays &amp; </span><span style="font-family: Tahoma, sans-serif; font-size: 10pt;">Vector, Template, and Exceptions</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
</td><br />
<td style="width: 113px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">D16, D17</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 208px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">11/13 - 11/17</span></p><br />
</td><br />
<td style="width: 391px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Containers and Iterators &amp; </span><span style="font-family: Tahoma, sans-serif; font-size: 10pt;">Algorithms and Maps</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
</td><br />
<td style="width: 113px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">D18, D19</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 208px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">11/20 - 11/24</span></p><br />
</td><br />
<td style="width: 391px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; line-height: 107%; font-family: Tahoma, sans-serif;">Thanksgiving Recess, </span><span style="font-size: 10pt; font-family: Tahoma, sans-serif;"><span style="font-size: 10pt;">No Classes </span></span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
</td><br />
<td style="width: 113px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">D20, D21, </span><span style="font-family: Tahoma, sans-serif; font-size: 10pt;">A2</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 208px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">11/27 - 12/01</span></p><br />
</td><br />
<td style="width: 391px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">A2 Review &amp; </span><span style="font-family: Tahoma, sans-serif; font-size: 10pt;">Concurrency</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
</td><br />
<td style="width: 113px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 208px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">12/04 - 12/08</span></p><br />
</td><br />
<td style="width: 391px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Threads and Tasks &amp; </span><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Monte Carlo</span></p><br />
</td><br />
<td style="width: 113px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 208px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">12/11 - 12/22</span></p><br />
</td><br />
<td style="width: 391px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Final</span></p><br />
</td><br />
<td style="width: 113px;"> </td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE521_Web_Design&diff=4952
FE521 Web Design
2018-02-15T20:33:40Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Honglei Zhao]]<br />
|Email = hzhao10@stevens.edu<br />
|Phone = (201) 208 1960<br />
|Office = Hanlon Lab<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Honglei_Z.jpg<br />
|Office_Hour = Any time<br />
<br />
|Classroom = <br />
HFSL<br />
|Classtime = <br />
Wed 12:00-1:00 pm<br />
|Opening_Term = Fall On Campus<br />
<br />
|Course_Intro =<br />
<br />
<br />
|Outcomes = <br />
<p>At the end of the semester, each student is expected to present their drupal website on a specific topic.</p><br />
<br />
|Description = <br />
<p>This course aims to provide students skills to present contents, especially financial data visualization, on websites. Basic knowledge of HTML, CSS, Javascript and CMS (content management system) are included. Drupal is a main CMS platform we instruct students to deal with all the presentations.</p><br />
<br />
|Textbook = <br />
<br />
<br />
|Reading = <br />
<br />
<br />
|GradingPolicy = <br />
<p>Homework is assigned according to class contents. (≤60%)</p><br />
<p>The final presentation of your website is the main goal. (≥40%)</p><br />
<p> </p> <br />
}}<br />
== Lecture Outline ==<br />
<table class="MsoNormalTable" style="width: 481.25pt; border-collapse: collapse; border: none; mso-border-alt: solid windowtext .5pt; mso-yfti-tbllook: 1184; mso-padding-alt: 0in 5.4pt 0in 5.4pt; mso-border-insideh: .5pt solid windowtext; mso-border-insidev: .5pt solid windowtext;" border="1" width="642" cellspacing="0" cellpadding="0"><br />
<br />
<tr style="mso-yfti-irow: 0; mso-yfti-firstrow: yes; height: 15.0pt;"><br />
<td style="width: 23.05pt; border: solid windowtext 1.0pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="31"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">#</span></p><br />
</td><br />
<td style="width: 66.25pt; border: solid windowtext 1.0pt; border-left: none; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="88"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Date</span></p><br />
</td><br />
<td style="width: 116.0pt; border: solid windowtext 1.0pt; border-left: none; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="155"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Topic</span></p><br />
</td><br />
<td style="width: 275.95pt; border: solid windowtext 1.0pt; border-left: none; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" width="368"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Content</span></p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 1; height: 15.0pt;"><br />
<td style="width: 23.05pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="31"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">1</span></p><br />
</td><br />
<td style="width: 66.25pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="88"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Aug 31st</span></p><br />
</td><br />
<td style="width: 116.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="155"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Introduction</span></p><br />
</td><br />
<td style="width: 275.95pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" width="368"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Introduction to this course. </span></p><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Introduction to web design and related skills. </span></p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 2; height: 15.0pt;"><br />
<td style="width: 23.05pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="31"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">2</span></p><br />
</td><br />
<td style="width: 66.25pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="88"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Sep 7th</span></p><br />
</td><br />
<td style="width: 116.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="155"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Drupal I</span></p><br />
</td><br />
<td style="width: 275.95pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" width="368"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">WAMP/LAMP, install Drupal, intro to Drupal (Honglei)</span></p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 3; height: 15.0pt;"><br />
<td style="width: 23.05pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="31"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">3</span></p><br />
</td><br />
<td style="width: 66.25pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="88"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Sep 14st</span></p><br />
</td><br />
<td style="width: 116.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="155"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Drupal I</span></p><br />
</td><br />
<td style="width: 275.95pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" width="368"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">basic Drupal structure, contents and fields (Honglei)</span></p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 4; height: 15.0pt;"><br />
<td style="width: 23.05pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="31"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">4</span></p><br />
</td><br />
<td style="width: 66.25pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="88"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Sep 21th</span></p><br />
</td><br />
<td style="width: 116.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="155"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Drupal II</span></p><br />
</td><br />
<td style="width: 275.95pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" width="368"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">basic Drupal: blocks, menus, views (Honglei)</span></p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 5; height: 15.0pt;"><br />
<td style="width: 23.05pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="31"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">5</span></p><br />
</td><br />
<td style="width: 66.25pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="88"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Sep 28th</span></p><br />
</td><br />
<td style="width: 116.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="155"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">HTML I</span></p><br />
</td><br />
<td style="width: 275.95pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" width="368"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">HTML (Abhi)</span></p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 6; height: 15.0pt;"><br />
<td style="width: 23.05pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="31"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">6</span></p><br />
</td><br />
<td style="width: 66.25pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="88"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Oct 5th</span></p><br />
</td><br />
<td style="width: 116.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="155"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">HTML II</span></p><br />
</td><br />
<td style="width: 275.95pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" width="368"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">HTML + CSS (Abhi)</span></p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 7; height: 15.0pt;"><br />
<td style="width: 23.05pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="31"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">7</span></p><br />
</td><br />
<td style="width: 66.25pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="88"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Oct 12th</span></p><br />
</td><br />
<td style="width: 116.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="155"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">CSS</span></p><br />
</td><br />
<td style="width: 275.95pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" width="368"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">CSS (Abhi)</span></p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 8; height: 15.0pt;"><br />
<td style="width: 23.05pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="31"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">8</span></p><br />
</td><br />
<td style="width: 66.25pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="88"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Oct 19th</span></p><br />
</td><br />
<td style="width: 116.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="155"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Drupal IV</span></p><br />
</td><br />
<td style="width: 275.95pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" width="368"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Modules in Drupal: panel, rss aggregator, calendar, contact form, google chart (Honglei)</span></p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 9; height: 17.5pt;"><br />
<td style="width: 23.05pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 17.5pt;" nowrap="nowrap" width="31"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">9</span></p><br />
</td><br />
<td style="width: 66.25pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 17.5pt;" nowrap="nowrap" width="88"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Oct 26th</span></p><br />
</td><br />
<td style="width: 116.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 17.5pt;" nowrap="nowrap" width="155"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">JavaScript I</span></p><br />
</td><br />
<td style="width: 275.95pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 17.5pt;" width="368"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Basic:javascript (Abhi)</span></p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 10; height: 15.0pt;"><br />
<td style="width: 23.05pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="31"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">10</span></p><br />
</td><br />
<td style="width: 66.25pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="88"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Nov 2th</span></p><br />
</td><br />
<td style="width: 116.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="155"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">JavaScript II</span></p><br />
</td><br />
<td style="width: 275.95pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" width="368"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="mso-fareast-font-family: 'Times New Roman'; color: black;"> </span><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">javascript (Abhi) </span></p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 11; height: 15.0pt;"><br />
<td style="width: 23.05pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="31"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">11</span></p><br />
</td><br />
<td style="width: 66.25pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="88"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Nov 9th</span></p><br />
</td><br />
<td style="width: 116.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="155"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">JavaScript III</span></p><br />
</td><br />
<td style="width: 275.95pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" width="368"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">D3.js, how to embed in Drupal (Abhi)</span></p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 12; height: 15.0pt;"><br />
<td style="width: 23.05pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="31"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">12</span></p><br />
</td><br />
<td style="width: 66.25pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="88"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Nov 16th</span></p><br />
</td><br />
<td style="width: 116.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="155"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Plotly</span></p><br />
</td><br />
<td style="width: 275.95pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" width="368"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Plotly (this is an easy app using D3.js, requires js or r) (Honglei)</span></p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 13; height: 15.0pt;"><br />
<td style="width: 23.05pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="31"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">13</span></p><br />
</td><br />
<td style="width: 66.25pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="88"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Nov 23th</span></p><br />
</td><br />
<td style="width: 116.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" nowrap="nowrap" width="155"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Other apps</span></p><br />
</td><br />
<td style="width: 275.95pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 15.0pt;" width="368"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">other CMS and fancy applications in Drupal</span></p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 14; mso-yfti-lastrow: yes; height: 20.65pt;"><br />
<td style="width: 23.05pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 20.65pt;" nowrap="nowrap" width="31"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">14</span></p><br />
</td><br />
<td style="width: 66.25pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 20.65pt;" nowrap="nowrap" width="88"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Nov 30th</span></p><br />
</td><br />
<td style="width: 116.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 20.65pt;" nowrap="nowrap" width="155"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Final</span></p><br />
</td><br />
<td style="width: 275.95pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 20.65pt;" width="368"><br />
<p class="MsoNormal" style="margin-bottom: 6.0pt; line-height: 115%;"><span style="font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Presentation on personal website</span></p><br />
</td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE520_Introduction_to_Python_for_Financial_Applications&diff=4951
FE520 Introduction to Python for Financial Applications
2018-02-15T20:33:34Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Peter Lin]]<br />
|Email = peter.lin@stevens.edu<br />
|Phone = <br />
|Office = Altorfer 304<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Lin_8024.jpg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
<br />
|Classtime = <br />
<br />
|Opening_Term = Fall On Campus, Spring On Campus<br />
<br />
|Course_Intro =<br />
Python is growing programming language in today's financial applications. Primarily, this is due to its nature (open source), as well as its accessibility (easier to learn than C++). The students<br />
completing this course will gain this very important programming skill.<br />
<br />
|Outcomes = <br />
<p>After taking this course, the students will be able to:</p><br />
<p>1. Get a fundamental knowledge of Python</p><br />
<p>2. Learn about interfacing with C++</p><br />
<p>3. Applying and implementing financial models in Python</p><br />
<p>4. Develop analytics on financial data using Python</p><br />
<br />
|Description = <br />
<p>This course is a primer on Python (language syntax, data structures, basic data processing,</p><br />
<p>Python functions, modules and classes). The remainder of the course covers open source Python</p><br />
<p>tools relevant to solving financial programming problems. The lecture, supporting examples, and</p><br />
<p>practical applications are intertwined. The content will be delivered in a fully equipped financial</p><br />
<p>computing laboratory where the students are immersed in case studies of real life applications.</p><br />
<p>There will be reading assignments of the corresponding chapters in the textbook and additional</p><br />
<p>materials will be provided.</p><br />
<br />
|Textbook = <br />
<p>Fletcher, S. and Gardner, C., Financial Modelling in Python, Wiley,</p><br />
<p>2009. (ISBN: 978-0- 470-98784- 1)</p><br />
<br />
|Reading = <br />
<br />
<br />
|GradingPolicy = <br />
<p>HW 30% Mid-term 20% Final 20% Projects 30%</p> <br />
}}<br />
== Lecture Outline ==<br />
<table style="height: 426px;" border="1" width="600"><br />
<br />
<tr><br />
<td style="width: 96px;"> </td><br />
<td style="width: 96px;">Topic(s)</td><br />
<td style="width: 96px;">Reading</td><br />
<td style="width: 96px;">Class exercises (Optional)</td><br />
<td style="width: 96px;"><br />
<p>HW</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 96px;">Week 1</td><br />
<td style="width: 96px;">The Python Language</td><br />
<td style="width: 96px;">Ch. 1 in textbook</td><br />
<td style="width: 96px;"> </td><br />
<td style="width: 96px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 96px;">Week 2</td><br />
<td style="width: 96px;">The Python Library</td><br />
<td style="width: 96px;">Ch. 1 in textbook</td><br />
<td style="width: 96px;">Class Exercise</td><br />
<td style="width: 96px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 96px;">Week 3</td><br />
<td style="width: 96px;">The PPF Package</td><br />
<td style="width: 96px;">Ch. 2 in textbook</td><br />
<td style="width: 96px;"> </td><br />
<td style="width: 96px;">HW1 Due</td><br />
</tr><br />
<tr><br />
<td style="width: 96px;">Week 4</td><br />
<td style="width: 96px;">Extending Python from C++</td><br />
<td style="width: 96px;">Ch. 3 in textbook</td><br />
<td style="width: 96px;">Class Exercise</td><br />
<td style="width: 96px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 96px;">Week 5</td><br />
<td style="width: 96px;">Basic Mathematical Tools</td><br />
<td style="width: 96px;">Ch. 4 in textbook</td><br />
<td style="width: 96px;"> </td><br />
<td style="width: 96px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 96px;">Week 6</td><br />
<td style="width: 96px;">Market: Curves and Surfaces</td><br />
<td style="width: 96px;">Ch. 5 in textbook</td><br />
<td style="width: 96px;">Class Exercise</td><br />
<td style="width: 96px;">HW2 Due</td><br />
</tr><br />
<tr><br />
<td style="width: 96px;">Week 7</td><br />
<td style="width: 96px;">Data Model</td><br />
<td style="width: 96px;">Ch. 6 in textbook</td><br />
<td style="width: 96px;"> </td><br />
<td style="width: 96px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 96px;">Week 8 </td><br />
<td style="width: 96px;">Timline: Events and Controller</td><br />
<td style="width: 96px;">Ch. 7 in textbook</td><br />
<td style="width: 96px;"> </td><br />
<td style="width: 96px;">Midterm</td><br />
</tr><br />
<tr><br />
<td style="width: 96px;">Week 9</td><br />
<td style="width: 96px;">The Hull-White Model</td><br />
<td style="width: 96px;">Ch. 8 in textbook</td><br />
<td style="width: 96px;">Class Exercise</td><br />
<td style="width: 96px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 96px;">Week 10 </td><br />
<td style="width: 96px;">Pricing using Numerical Methods</td><br />
<td style="width: 96px;">Ch. 9 in textbook</td><br />
<td style="width: 96px;"> </td><br />
<td style="width: 96px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 96px;">Week 11</td><br />
<td style="width: 96px;">Pricing Financial Structures in Hull-White</td><br />
<td style="width: 96px;">Ch. 10 in textbook</td><br />
<td style="width: 96px;">Class Exercise</td><br />
<td style="width: 96px;">HW3 Due</td><br />
</tr><br />
<tr><br />
<td style="width: 96px;">Week 12</td><br />
<td style="width: 96px;">Hybrid Python/C++ Pricing Systems</td><br />
<td style="width: 96px;">Ch. 11 in textbook</td><br />
<td style="width: 96px;"> </td><br />
<td style="width: 96px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 96px;">Week 13</td><br />
<td style="width: 96px;">Python Excel Integration</td><br />
<td style="width: 96px;">Ch. 12 in textbook</td><br />
<td style="width: 96px;">Class Exercise</td><br />
<td style="width: 96px;">Project Report Due</td><br />
</tr><br />
<tr><br />
<td style="width: 96px;">Week 14 </td><br />
<td style="width: 96px;">Project presentation</td><br />
<td style="width: 96px;"> </td><br />
<td style="width: 96px;"> </td><br />
<td style="width: 96px;">Final</td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE518_Mathematica_for_Finance&diff=4950
FE518 Mathematica for Finance
2018-02-15T20:33:30Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Dragos Bozdog]]<br />
|Email = dbozdog@stevens.edu<br />
|Phone = (201) 216 3527<br />
|Office = Babbio 429A<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Dragos_Bozdog.jpg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
<br />
|Classtime = <br />
<br />
|Opening_Term = <br />
<br />
|Course_Intro =<br />
The course provides an introduction to programming, graphics, and financial data analysis using Mathematica. The students will learn programming in Mathematica Software, starting with elementary concepts, but quickly moving forward to advanced programming. The content is designed as an integrated quantitative methodology for analysis of markets, and optimal trading in stocks and options. The course is based on “hands‐on” projects dealing with contemporary topics in financial mathematics and it complements theoretical courses of finance.<br />
<br />
|Outcomes = <br />
<br />
<br />
|Description = <br />
<p>Main topics include:</p><br />
<ul><br />
<li>Mathematica Language: Lists, Patterns and Rules, Functional and Procedural Programming, Graphics and Visualization, Dynamic Expressions and Optimizing Mathematica Programs</li><br />
<li>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</li><br />
</ul><br />
<br />
|Textbook = <br />
<ul><br />
<li>Stojanovic, S., Computational financial mathematics using MATHEMATICA: optimal trading in stocks and options, Boston: Birkhäuser, 2003. (ISBN: 978‐0‐8176‐4197‐9)</li><br />
</ul><br />
<br />
|Reading = <br />
<ul><br />
<li>Wellin, P. Programming with Mathematica®: An Introduction, 4th Revised edition, Cambridge University Press, 2013. (ISBN: 978‐1107009462)</li><br />
</ul><br />
<br />
|GradingPolicy = <br />
<p> </p><br />
<ul><br />
<li>Assignments – 40%</li><br />
<li>Class work – 20% </li><br />
<li>Final Exam – 40%</li><br />
</ul> <br />
}}<br />
== Lecture Outline ==<br />
<table style="width: 600px;" border="1"><br />
<br />
<tr><br />
<td style="width: 43px;">Week 1</td><br />
<td style="width: 160px;">Introduction to Mathematica</td><br />
<td style="width: 118px;">Lecture Notes</td><br />
</tr><br />
<tr><br />
<td style="width: 43px;">Week 2</td><br />
<td style="width: 160px;">The Mathematica Language</td><br />
<td style="width: 118px;">Lecture Notes</td><br />
</tr><br />
<tr><br />
<td style="width: 43px;">Week 3</td><br />
<td style="width: 160px;">Lists, Patterns and Rules</td><br />
<td style="width: 118px;">Ch. 1</td><br />
</tr><br />
<tr><br />
<td style="width: 43px;">Week 4</td><br />
<td style="width: 160px;">Functional and Procedural Programming</td><br />
<td style="width: 118px;">Ch. 2</td><br />
</tr><br />
<tr><br />
<td style="width: 43px;">Week 5</td><br />
<td style="width: 160px;">Graphics and Visualization</td><br />
<td style="width: 118px;">Ch. 3</td><br />
</tr><br />
<tr><br />
<td style="width: 43px;">Week 6</td><br />
<td style="width: 160px;">Dynamic Expressions and Optimizing Mathematica Programs</td><br />
<td style="width: 118px;">Lecture Notes</td><br />
</tr><br />
<tr><br />
<td style="width: 43px;">Week 7</td><br />
<td style="width: 160px;">Cash Account Evolution, Stock Price Evolution</td><br />
<td style="width: 118px;">Ch. 4</td><br />
</tr><br />
<tr><br />
<td style="width: 43px;">Week 8</td><br />
<td style="width: 160px;">European Style Options</td><br />
<td style="width: 118px;">Ch. 5</td><br />
</tr><br />
<tr><br />
<td style="width: 43px;">Week 9</td><br />
<td style="width: 160px;">Stock Market Statistics</td><br />
<td style="width: 118px;">Ch. 6</td><br />
</tr><br />
<tr><br />
<td style="width: 43px;">Week 10</td><br />
<td style="width: 160px;">Implied Volatility for European Options</td><br />
<td style="width: 118px;">Ch. 7</td><br />
</tr><br />
<tr><br />
<td style="width: 43px;">Week 11</td><br />
<td style="width: 160px;">American Style Stock Options</td><br />
<td style="width: 118px;">Ch. 8</td><br />
</tr><br />
<tr><br />
<td style="width: 43px;">Week 12</td><br />
<td style="width: 160px;">Optimal Portfolio Rules</td><br />
<td style="width: 118px;">Ch. 9</td><br />
</tr><br />
<tr><br />
<td style="width: 43px;">Week 13</td><br />
<td style="width: 160px;">Advanced Trading Strategies</td><br />
<td style="width: 118px;">Lecture Notes</td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE517_SAS_for_Finance&diff=4949
FE517 SAS for Finance
2018-02-15T20:33:26Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Amin Salighehdar]]<br />
|Email = asalighe@stevens.edu<br />
|Phone = <br />
|Office = Altofer 301<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Amin_Salighehdar.jpg<br />
|Office_Hour = Thursday 3:00pm-5:00pm<br />
<br />
|Classroom = <br />
Hanlon Financial System Lab<br />
|Classtime = <br />
Tuesday (11:00am-12:00pm)<br />
|Opening_Term = Fall On Campus, Spring On Campus<br />
<br />
|Course_Intro =<br />
This is one credit lab course. In this course the students will learn the basics of SAS programming using financial data and applications. The course provides an introduction to programming, graphics, and data analysis using SAS Software. <br />
<br />
|Outcomes = <br />
<p class="MsoNormal">After taking this course, the students will be able to:</p><br />
<p class="MsoNormal">1. Work with datasets and databases directly from SAS.</p><br />
<p class="MsoNormal">2. Create SAS databases.</p><br />
<p class="MsoNormal">3. Perform analytics on databases.</p><br />
<p class="MsoNormal">4. Visualize data.</p><br />
<p class="MsoNormal">5. Use SAS Macros.</p><br />
<p class="MsoNormal">6. Debug SAS programs.</p><br />
<br />
|Description = <br />
<p class="MsoNormal">The course concentrates on fundamental components of SAS Software: data processing, managing SAS libraries, graphical and statistical procedures, creating, formatting and exporting reports. In addition, several advanced topics will be introduced: SAS SQL procedures and SAS Macro Language. The supporting applications illustrate financial data analysis with special emphasis on large data sets.</p><br />
<br />
|Textbook = <br />
<ol><br />
<li class="MsoNormal">Delwiche, Laura D. and Slaughter, Susan J., The Little SAS Book: A Primer, 5th Edition, SAS Institute, 2012. (ISBN: 978-1-61290-343-9)</li><br />
</ol><br />
<br />
|Reading = <br />
<br />
<br />
|GradingPolicy = <br />
<p class="MsoNormal">Assignments – 40%</p><br />
<p class="MsoNormal">Project – 40%</p><br />
<p><span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Quiz-20%</span></p> <br />
}}<br />
== Lecture Outline ==<br />
<table style="width: 600px;" border="1"><br />
<br />
<tr style="height: 15px;"><br />
<td style="width: 105px; height: 15px;"> </td><br />
<td style="width: 406px; height: 15px;"><strong>Topic</strong></td><br />
<td style="width: 183px; height: 15px;"><strong>Readings</strong></td><br />
<td style="width: 181px; height: 15px;"><strong>Assignment</strong></td><br />
</tr><br />
<tr style="height: 37px;"><br />
<td style="width: 105px; height: 37px;"><strong>Week 1</strong></td><br />
<td style="width: 406px; height: 37px;"><span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-theme-font: minor-latin; color: black; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Introduction of SAS Software</span></td><br />
<td style="width: 183px; height: 37px;"><br />
<p class="MsoNormal" style="text-align: left;" align="center">Chapter 1</p><br />
</td><br />
<td style="width: 181px; height: 37px;"> </td><br />
</tr><br />
<tr style="height: 16px;"><br />
<td style="width: 105px; height: 16px;"><strong>Week 2</strong></td><br />
<td style="width: 406px; height: 16px;"><span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Getting Data into SAS</span></td><br />
<td style="width: 183px; height: 16px;"><span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Chapter 2</span></td><br />
<td style="width: 181px; height: 16px;"> </td><br />
</tr><br />
<tr style="height: 37px;"><br />
<td style="width: 105px; height: 37px;"><strong>Week 3</strong></td><br />
<td style="width: 406px; height: 37px;"><span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Getting Data into SAS</span></td><br />
<td style="width: 183px; height: 37px;"><span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Chapter 2</span></td><br />
<td style="width: 181px; height: 37px;"><br />
<p class="MsoNormal" style="text-align: left;" align="center">Assignment 1</p><br />
</td><br />
</tr><br />
<tr style="height: 37px;"><br />
<td style="width: 105px; height: 37px;"><strong>Week 4</strong></td><br />
<td style="width: 406px; height: 37px;"><span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Working with Data</span></td><br />
<td style="width: 183px; height: 37px;"><br />
<p class="MsoNormal" style="text-align: left;" align="center">Chapter 3</p><br />
</td><br />
<td style="width: 181px; height: 37px;"> </td><br />
</tr><br />
<tr style="height: 69px;"><br />
<td style="width: 105px; height: 69px;"><strong>Week 5</strong></td><br />
<td style="width: 406px; height: 69px;"><br />
<p class="MsoNormal" style="text-align: left;" align="center">Sorting, Printing, and Summarizing Your Data</p><br />
</td><br />
<td style="width: 183px; height: 69px;"><span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Chapter 4</span></td><br />
<td style="width: 181px; height: 69px;"><br />
<p class="MsoNormal" style="text-align: left;" align="center">Quiz 1</p><br />
<span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Assignment 2</span></td><br />
</tr><br />
<tr style="height: 69px;"><br />
<td style="width: 105px; height: 69px;"><strong>Week 6</strong></td><br />
<td style="width: 406px; height: 69px;"><br />
<p class="MsoNormal" style="text-align: left;" align="center">Financial Data</p><br />
<span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;"> (Thomson Reuters Tick History SAS API)</span></td><br />
<td style="width: 183px; height: 69px;"><span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Lecture Notes</span></td><br />
<td style="width: 181px; height: 69px;"> </td><br />
</tr><br />
<tr style="height: 32px;"><br />
<td style="width: 105px; height: 32px;"><strong>Week 7</strong></td><br />
<td style="width: 406px; height: 32px;"><span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; color: #984806; mso-themecolor: accent6; mso-themeshade: 128; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Monday Schedule- </span><span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; color: #984806; mso-themecolor: accent6; mso-themeshade: 128; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">No Class</span></td><br />
<td style="width: 183px; height: 32px;"> </td><br />
<td style="width: 181px; height: 32px;"> </td><br />
</tr><br />
<tr style="height: 84px;"><br />
<td style="width: 105px; height: 84px;"><strong>Week 8</strong></td><br />
<td style="width: 406px; height: 84px;"><br />
<p class="MsoNormal" style="text-align: left;" align="center"><span style="mso-bidi-font-family: Calibri; mso-bidi-theme-font: minor-latin; color: black;">Enhancing Your Output with ODS, </span></p><br />
<span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-theme-font: minor-latin; color: black; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Creating and Managing Tables</span></td><br />
<td style="width: 183px; height: 84px;"><span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Chapter 5</span></td><br />
<td style="width: 181px; height: 84px;"> </td><br />
</tr><br />
<tr style="height: 64px;"><br />
<td style="width: 105px; height: 64px;"><strong>Week 9</strong></td><br />
<td style="width: 406px; height: 64px;"><span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-theme-font: minor-latin; color: black; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Modifying and Combining SAS Data Sets, </span><span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Exporting Your Data</span></td><br />
<td style="width: 183px; height: 64px;"><br />
<p class="MsoNormal" style="text-align: left;" align="center"><span style="mso-bidi-font-family: Calibri; mso-bidi-theme-font: minor-latin; color: black;">Chapter 6</span></p><br />
<span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-theme-font: minor-latin; color: black; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Chapter 10</span></td><br />
<td style="width: 181px; height: 64px;"><span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Assignment 3</span></td><br />
</tr><br />
<tr style="height: 48px;"><br />
<td style="width: 105px; height: 48px;"><strong>Week 10</strong></td><br />
<td style="width: 406px; height: 48px;"><span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Writing Flexible Code with the SAS Macro Facility</span></td><br />
<td style="width: 183px; height: 48px;"><span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-theme-font: minor-latin; color: black; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Chapter 7</span></td><br />
<td style="width: 181px; height: 48px;"> </td><br />
</tr><br />
<tr style="height: 79px;"><br />
<td style="width: 105px; height: 79px;"><strong>Week 11</strong></td><br />
<td style="width: 406px; height: 79px; text-align: left;"><span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Using Basic Graphical and Statistical Procedures</span></td><br />
<td style="width: 183px; height: 79px; text-align: left;"><br />
<p class="MsoNormal" style="text-align: left;" align="center"><span style="mso-bidi-font-family: Calibri; mso-bidi-theme-font: minor-latin; color: black;">Chapter 8</span></p><br />
<span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-theme-font: minor-latin; color: black; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Chapter 9</span></td><br />
<td style="width: 181px; height: 79px; text-align: left;"><br />
<p class="MsoNormal" style="text-align: left;" align="center">Assignment 4</p><br />
<p class="MsoNormal" style="text-align: left;" align="center">Quiz 2</p><br />
<span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Project Description </span></td><br />
</tr><br />
<tr style="height: 15px;"><br />
<td style="width: 105px; height: 15px;"><strong>Week 12</strong></td><br />
<td style="width: 406px; height: 15px; text-align: left;"><br />
<p class="MsoNormal" style="text-align: left;"><span style="mso-bidi-font-family: Calibri; mso-bidi-theme-font: minor-latin; color: black;"> SQL in SAS </span></p><br />
<span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Debugging Your SAS Programs</span></td><br />
<td style="width: 183px; height: 15px; text-align: left;"><br />
<p class="MsoNormal" style="text-align: left;" align="center">Lecture Notes</p><br />
<span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Chapter 11</span></td><br />
<td style="width: 181px; height: 15px; text-align: left;"> </td><br />
</tr><br />
<tr style="height: 15px;"><br />
<td style="width: 105px; height: 15px;"><strong>Week 13</strong></td><br />
<td style="width: 406px; height: 15px; text-align: left;"><span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">SAS Enterprise Guide, SAS Enterprise Miner</span></td><br />
<td style="width: 183px; height: 15px; text-align: left;"><span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Lecture Notes</span></td><br />
<td style="width: 181px; height: 15px; text-align: left;"> </td><br />
</tr><br />
<tr style="height: 15px;"><br />
<td style="width: 105px; height: 15px;"><strong>Week 14</strong></td><br />
<td style="width: 406px; height: 15px; text-align: left;"><span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Final Project Presentation</span></td><br />
<td style="width: 183px; height: 15px; text-align: left;"> </td><br />
<td style="width: 181px; height: 15px; text-align: left;"> </td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE516_MATLAB_for_Finance&diff=4948
FE516 MATLAB for Finance
2018-02-15T20:33:22Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Sebastian Tudor]]<br />
|Email = studor@stevens.edu<br />
|Phone = <br />
|Office = Altorfer 301<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Sebastian_Tudor.jpg<br />
|Office_Hour = 2-3pm Monday<br />
<br />
|Classroom = <br />
Babbio Center: Hanlon Financial Systems Lab<br />
|Classtime = <br />
W 09:00-10:00AM<br />
|Opening_Term = Fall On Campus, Spring On Campus<br />
<br />
|Course_Intro =<br />
Students will get hands-on experience with Matlab, and they will gain fundamental knowledge in developing applications involving financial data. The course is designed so that upon completion the students will be able to use Matlab for their assignments and research involving programming, particularly in future finance courses (e.g., FE 621, FE 630, FE 635, FE 535). Knowing Matlab is a very useful skill for a quantitative analyst working in the financial industry.<br />
<br />
|Outcomes = <br />
<p><span style="font-size: 12.000000pt; font-family: 'CMR12';">After taking this course, the students will be able to: </span></p><br />
<div class="column"><br />
<p><span style="font-size: 12.000000pt; font-family: 'CMR12';">(i) Import/export data </span></p><br />
<p><span style="font-size: 12.000000pt; font-family: 'CMR12';">(ii) Create and manipulate variables<br /> </span></p><br />
<p><span style="font-size: 12.000000pt; font-family: 'CMR12';">(iii) Working data in and out of databases </span></p><br />
<p><span style="font-size: 12.000000pt; font-family: 'CMR12';">(iv) Analyze and visualize data </span></p><br />
<p><span style="font-size: 12.000000pt; font-family: 'CMR12';">(v) Implement algorithms, simulate stochastic processes </span></p><br />
<p><span style="font-size: 12.000000pt; font-family: 'CMR12';">(vi) Use symbolic and numerical solvers </span></p><br />
</div><br />
<p> </p><br />
<br />
|Description = <br />
<p> </p><br />
<div class="column"><br />
<p><span style="font-size: 12.000000pt; font-family: 'CMR12';">The purpose of the this course is to introduce the basics of Matlab programming and some relevant toolboxes for finance. This short course is intended for students with little or no experience with the software covering Matlab’s basic operations and features. In addition, the course works through several applications, to give the students the necessary knowledge on developing their own projects. Topics covered include functions, arrays, Matlab plotting, simulation of stochastic processes in finance, numerical and symbolic solvers. Assignments are designed to build an appreciation for randomness, simulation, and the role of approximation. Also, in-class workshops are designed for students to gain better insights and develop their skills. </span></p><br />
<p><span style="font-size: 12.000000pt; font-family: 'CMR12';">Several useful and powerful Matlab toolboxes are studied with relevant examples: Curve fitting Toolbox, Optimization Toolbox, Statistics Toolbox, Database Toolbox, numerical solvers (solving equations, integration, differentiation, ODEs, etc.), Symbolic Math Toolbox, Simulink. The final part of the class involves financial applications (Monte Carlo Simulation, Brownian Motion Simulation and Calibration, Black–Scholes option pricing, etc.) Other topics could be added at students’ request. </span></p><br />
</div><br />
<p> </p><br />
<br />
|Textbook = <br />
<p><span style="font-size: 12.000000pt; font-family: 'CMR12';">Attaway, Stormy. </span><span style="font-size: 12.000000pt; font-family: 'CMTI12';">Matlab: a practical introduction to program</span><span style="font-size: 12.000000pt; font-family: 'CMTI12';">ming and problem solving (2011)</span></p><br />
<p> </p><br />
<br />
|Reading = <br />
<p><span style="font-size: 12.000000pt; font-family: 'CMTI12';">Matlab Primer, Matlab help</span></p><br />
<br />
|GradingPolicy = <br />
<p><span style="font-size: 12.000000pt; font-family: 'CMR12';">HW 40%</span><span style="font-size: 12.000000pt; font-family: 'CMR12';">, Class work 20%</span><span style="font-size: 12.000000pt; font-family: 'CMR12';">, Final Project 40%. </span></p> <br />
}}<br />
== Lecture Outline ==</div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE515_Introduction_to_R&diff=4947
FE515 Introduction to R
2018-02-15T20:33:18Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Ziwen Ye]]<br />
|Email = <br />
|Phone = <br />
|Office = <br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/400px-Ziwen_Y.JPG<br />
|Office_Hour = Anytime in lab<br />
<br />
|Classroom = <br />
Hanlon Lab 1<br />
|Classtime = <br />
M 2:00-3:00PM & T <br />
|Opening_Term = Fall On Campus, Spring On Campus<br />
<br />
|Course_Intro =<br />
What is R?<br />
According to their site http://www.r-project.org/ : <br />
"R is a language and environment for statistical computing and graphics."<br />
"R provides a wide variety of statistical (linear and nonlinear modelling, classical statistical tests, time-series analysis, classification, clustering, ...) and graphical techniques, and is highly extensible."<br />
"One of R's strengths is the ease with which well-designed publication-quality plots can be produced, including mathematical symbols and formulae where needed."<br />
<br />
<br />
|Outcomes = <br />
<br />
<br />
|Description = <br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">This course is designed for both graduate and undergraduate students. It covers some fundamental topics in the statistical programming language R, as well as some basic applications in finance. Upon completion the students will gain an understanding of the programming syntax and should be able to use R in any future courses.</span></p><br />
<br />
|Textbook = <br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Lecture Notes and Code.</span></p><br />
<p> </p><br />
<br />
|Reading = <br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;"><em>The art of R programming: a tour of statistical software design.</em> Norman Matloff, First Edition, 2011. ISBN-10: 1593273843, ISBN-13: 978-1593273842</span></p><br />
<p> </p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;"><em>An Introduction to Analysis of Financial Data with R</em>. Ruey Tsay, First Edition, 2012. ISBN-10: 0470890819, ISBN-13: 978-0470890813</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">CRAN: http://www.wikibooks.org</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">R-help Info: https://stat.ethz.ch/mailman/listinfo/r-help</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">R-help Archive: http://r.789695.n4.nabble.com</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Quick R: http://www.statmethods.net</span></p><br />
<br />
|GradingPolicy = <br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">The plan is to schedule 5 to 6 assignments for this semester. The assignments should be done exactly before the next class. <b>All LATE SUBMISSION</b> will be punished unless you send me an email <b>BEFORE DUE</b> and get approved. If your submission passes the due for less than 24 hours, your highest score will be 67%; between 24 and 48 hours, your highest score will be 33%; after 48 hours this assignment is worth nothing. However, for each student, the lowest grade will be dropped when I calculating the final grade.</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Starting from this semester we will have midterm and final exam. Both exam will be arranged outside class time due to the limited time for each section. Estimate both exam will be 2 hour length and you are allowed to use any material to help finish it but <b>NOT</b> including use all kinds of tool to discuss with anyone, such as email, skype, text message and so on.</span></p><br />
<p> </p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">You are encouraged to have discussions but <b>NOT</b> including homework questions. All code and reports must be written by yourself. Copying solutions from sources other than your brain is strictly forbidden. This kind of behavior will be considered as academic dishonesty/misconduct and will be dealt with according to the Stevens honor board policy.</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Assignments 50%</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Midterm 20%</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Final 30%</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Bonus Questions TBD</span></p> <br />
}}<br />
== Lecture Outline ==<br />
<table style="height: 211px; width: 692px;"><br />
<br />
<tr><br />
<td style="width: 99px;"><br />
<p class="MsoNormal" style="line-height: normal; text-align: center;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Date</span></p><br />
</td><br />
<td style="width: 543px; text-align: center;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Topics</span></p><br />
</td><br />
<td style="width: 84px; text-align: center;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Assignments</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 99px;"><br />
<p class="MsoNormal" style="line-height: normal; text-align: center;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">08/29 L1</span></p><br />
</td><br />
<td style="width: 543px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">R basics &amp; Data structures &amp; Loops</span></p><br />
</td><br />
<td style="width: 84px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 99px; text-align: center;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">09/05 L2</span></p><br />
</td><br />
<td style="width: 543px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">R basics &amp; Functions, “apply" functions </span></p><br />
</td><br />
<td style="width: 84px;"><br />
<p class="MsoNormal" style="line-height: normal; text-align: center;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">A1</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 99px; text-align: center;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">09/12 L3</span></p><br />
</td><br />
<td style="width: 543px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">R basics &amp; Generating random variables &amp; Simulations</span></p><br />
</td><br />
<td style="width: 84px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 99px; text-align: center;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">09/26 L4</span></p><br />
</td><br />
<td style="width: 543px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Date and Time Objects</span></p><br />
</td><br />
<td style="width: 84px;"><br />
<p class="MsoNormal" style="line-height: normal; text-align: center;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">A2</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 99px; text-align: center;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">09/26 L5</span></p><br />
</td><br />
<td style="width: 543px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Download data through R: Thomson Reuters API (TRTH), Yahoo API (Quantmod)</span></p><br />
</td><br />
<td style="width: 84px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 99px; text-align: center;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">10/03 L6</span></p><br />
</td><br />
<td style="width: 543px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-family: Tahoma, sans-serif;"><span style="font-size: 10pt;">Return, </span><span style="font-size: 13.3333px;">Auto-correlation</span><span style="font-size: 10pt;"> &amp; Asset Volatility </span></span></p><br />
</td><br />
<td style="width: 84px;"><br />
<p class="MsoNormal" style="line-height: normal; text-align: center;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">A3</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 99px; text-align: center;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">10/10 </span></p><br />
</td><br />
<td style="width: 543px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Monday schedule, No class</span></p><br />
</td><br />
<td style="width: 84px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 99px; text-align: center;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">10/17 L7</span></p><br />
</td><br />
<td style="width: 543px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Simple linear regression, Gradient Descent</span></p><br />
</td><br />
<td style="width: 84px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 99px;"><br />
<p class="MsoNormal" style="line-height: normal; text-align: center;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">10/21</span></p><br />
</td><br />
<td style="width: 543px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Midterm</span></p><br />
</td><br />
<td style="width: 84px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 99px;"><br />
<p class="MsoNormal" style="line-height: normal; text-align: center;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">10/24 </span></p><br />
</td><br />
<td style="width: 543px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">No class</span></p><br />
</td><br />
<td style="width: 84px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 99px;"><br />
<p class="MsoNormal" style="line-height: normal; text-align: center;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">10/31 L8</span></p><br />
</td><br />
<td style="width: 543px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Newton's Method </span></p><br />
</td><br />
<td style="width: 84px;"><br />
<p class="MsoNormal" style="line-height: normal; text-align: center;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">A4</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 99px;"><br />
<p class="MsoNormal" style="line-height: normal; text-align: center;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">11/07 L9 </span></p><br />
</td><br />
<td style="width: 543px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">GBM, volatility</span></p><br />
</td><br />
<td style="width: 84px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 99px;"><br />
<p class="MsoNormal" style="line-height: normal; text-align: center;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">11/14 L10</span></p><br />
</td><br />
<td style="width: 543px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Plot and GGplot </span></p><br />
</td><br />
<td style="width: 84px;"><br />
<p class="MsoNormal" style="line-height: normal; text-align: center;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">A5</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 99px;"><br />
<p class="MsoNormal" style="line-height: normal; text-align: center;"> </p><br />
<p class="MsoNormal" style="line-height: normal; text-align: center;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">11/21 L11</span></p><br />
</td><br />
<td style="width: 543px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Rmarkdown, R Sweave, R html &amp; R presentation</span></p><br />
</td><br />
<td style="width: 84px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 99px;"><br />
<p class="MsoNormal" style="line-height: normal; text-align: center;"> </p><br />
<p class="MsoNormal" style="line-height: normal; text-align: center;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">11/28 L12</span></p><br />
</td><br />
<td style="width: 543px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Advanced Topic: TBD</span></p><br />
</td><br />
<td style="width: 84px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 99px;"><br />
<p class="MsoNormal" style="line-height: normal; text-align: center;"> </p><br />
<p class="MsoNormal" style="line-height: normal; text-align: center;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">12/05 L13</span></p><br />
</td><br />
<td style="width: 543px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Advanced Topic: TBD</span></p><br />
</td><br />
<td style="width: 84px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 99px;"><br />
<p class="MsoNormal" style="line-height: normal; text-align: center;"> </p><br />
<p class="MsoNormal" style="line-height: normal; text-align: center;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">12/09</span></p><br />
</td><br />
<td style="width: 543px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Final</span></p><br />
</td><br />
<td style="width: 84px;"> </td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE511_Introduction_to_Bloomberg_and_Thomson_Reuters&diff=4946
FE511 Introduction to Bloomberg and Thomson Reuters
2018-02-15T20:33:14Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Parisa Golbayani ]]<br />
|Email = <br />
|Phone = <br />
|Office = <br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/ParisaG.jpg<br />
|Office_Hour = By appointment<br />
<br />
|Classroom = <br />
Babbio Center: Hanlon Financial Systems Lab<br />
|Classtime = <br />
Thursday (11:00am-12:00pm)<br />
|Opening_Term = Spring On Campus<br />
<br />
|Course_Intro =<br />
<br />
<br />
|Outcomes = <br />
<p>After taking this course, students will be able to:</p><br />
<ol><br />
<li>Navigate the available data using the Bloomberg terminal.</li><br />
<li>Retrieve relevant information for their projects.</li><br />
<li>Learn how to use Bloomberg API.</li><br />
<li>Navigate the available Thomson Reuters Sirca Historical Data.</li><br />
<li>Navigate the avaible WRDS (CRSP, Compustat) databases.</li><br />
<li>Perform simple data analysis on the data set.</li><br />
</ol><br />
<p> </p><br />
<br />
|Description = <br />
<p>This course is designed to teach students the nature and availability of the financial data available at Stevens. The focus of the course will be on equity, futures, FX, Fixed Income, Options, Swaps, CDS’s, Interest Rate Swaps etc. The students will learn to how use a Bloomberg terminal. As part of the course the students will get certified in Bloomberg (BMC – Bloomberg Market Concepts). We will cover the basics of using Thomson–Reuters Tick history data and WRDS (CRSP and Compustat). The course also introduces basics of applied statistics.</p><br />
<br />
|Textbook = <br />
<br />
<br />
|Reading = <br />
<br />
<br />
|GradingPolicy = <br />
<p>There will be homework assignments for all section covered in this course.</p><br />
<p> </p><br />
<p>Attendance – 5%</p><br />
<p>Assignments – 60%</p><br />
<p>Final Project – 35%</p> <br />
}}<br />
== Lecture Outline ==<br />
<table style="height: 495px;" width="717"><br />
<br />
<tr><br />
<td style="width: 171px;"> </td><br />
<td style="width: 172px;">Topic</td><br />
<td style="width: 173px;">Description</td><br />
<td style="width: 173px;">Assignments</td><br />
</tr><br />
<tr><br />
<td style="width: 171px;"><br />
<p>Week 1</p><br />
</td><br />
<td style="width: 172px;">Introduction</td><br />
<td style="width: 173px;">Course Introduction &amp; HFSL Overview BBG Logins</td><br />
<td style="width: 173px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 171px;"><br />
<p>Week 2</p><br />
</td><br />
<td style="width: 172px;">Bloomberg – Fundamental Analysis</td><br />
<td style="width: 173px;">Bloomberg Navigation (Equity) – Part I</td><br />
<td style="width: 173px;">Assignment 1</td><br />
</tr><br />
<tr><br />
<td style="width: 171px;">Week 3</td><br />
<td style="width: 172px;">Bloomberg – Fundamental Analysis</td><br />
<td style="width: 173px;">Bloomberg Navigation (Equity) – Part II</td><br />
<td style="width: 173px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 171px;">Week 4</td><br />
<td style="width: 172px;">Bloomberg – Fundamental Analysis</td><br />
<td style="width: 173px;">Bloomberg Navigation (Fixed Income) – Part I</td><br />
<td style="width: 173px;">Assignment 2</td><br />
</tr><br />
<tr><br />
<td style="width: 171px;">Week 5</td><br />
<td style="width: 172px;">Bloomberg – Fundamental Analysis</td><br />
<td style="width: 173px;">Bloomberg Navigation (Fixed Income) – Part II</td><br />
<td style="width: 173px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 171px;">Week 6</td><br />
<td style="width: 172px;">Bloomberg – Fundamental Analysis</td><br />
<td style="width: 173px;">Bloomberg Navigation (Foreign Exchange) – Part I</td><br />
<td style="width: 173px;">Assignment 3</td><br />
</tr><br />
<tr><br />
<td style="width: 171px;">Week 7</td><br />
<td style="width: 172px;">Bloomberg – Fundamental Analysis</td><br />
<td style="width: 173px;">Bloomberg Navigation (Foreign Exchange) – Part II</td><br />
<td style="width: 173px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 171px;">Week 8</td><br />
<td style="width: 172px;">Bloomberg – Fundamental Analysis</td><br />
<td style="width: 173px;">Bloomberg Navigation (Commodities) – Part I</td><br />
<td style="width: 173px;">Assignment 4</td><br />
</tr><br />
<tr><br />
<td style="width: 171px;">Week 9</td><br />
<td style="width: 172px;">Bloomberg – Fundamental Analysis</td><br />
<td style="width: 173px;">Bloomberg Navigation (Commodities) – Part II</td><br />
<td style="width: 173px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 171px;">Week 10</td><br />
<td style="width: 172px;">Bloomberg Tools</td><br />
<td style="width: 173px;">API - R, C++, VBA, Java</td><br />
<td style="width: 173px;">Assignment 5</td><br />
</tr><br />
<tr><br />
<td style="width: 171px;">Week 11</td><br />
<td style="width: 172px;">Sirca – Thomson Reuters Tick History</td><br />
<td style="width: 173px;">Web interface and APIWeb interface and API</td><br />
<td style="width: 173px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 171px;">Week 12</td><br />
<td style="width: 172px;">Sirca – Thomson Reuters Tick History</td><br />
<td style="width: 173px;">SAS and R – automatic downloader (API)</td><br />
<td style="width: 173px;">Assignment 6</td><br />
</tr><br />
<tr><br />
<td style="width: 171px;">Week 13</td><br />
<td style="width: 172px;">WRDS – Wharton Research Data Services databases</td><br />
<td style="width: 173px;">Web interface and API</td><br />
<td style="width: 173px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 171px;">Week 14</td><br />
<td style="width: 172px;">Final Project</td><br />
<td style="width: 173px;">Student Presentations</td><br />
<td style="width: 173px;">Final Project</td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE512_Database_Engineering&diff=4945
FE512 Database Engineering
2018-02-15T20:32:52Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Xiaodi Zhu]]<br />
|Email = xzhu@stevens.edu<br />
|Phone = <br />
|Office = Altofer 301<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/DSC_4806_-_Copy.JPG<br />
|Office_Hour = T 10a.m. - 12p.m.<br />
<br />
|Classroom = <br />
Hanlon Financial Systems Lab<br />
|Classtime = <br />
M 12p.m. - 1p.m. & F 10a.m. - 12p.m.<br />
|Opening_Term = Fall On Campus, Spring On Campus<br />
<br />
|Course_Intro =<br />
The course provides an introduction to SQL databases and NoSQL databases as available to the Hanlon Financial Systems Lab. At the end of the course the students will be familiar with all the lab data resources as well as a working knowledge on how to use them. The students will receive hands on instructions about setting up and working with databases. Most of the software will be introduced using case studies or demonstrations, followed by a lecture of related fundamental knowledge. The course covers SQL (MySQL), NoSQL (MongoDB, OneTick) and basic introduction to HADOOP. The course will also cover accessing databases using API in different programming languages.<br />
<br />
|Outcomes = <br />
<p>After taking this course, the students will be able to: Have a working understanding of all the databases available for them through the Hanlon lab Will get a primer on database management as well as advantages and disadvantages Will develop a self-study plan to obtain more information and proficiency for each software and database Will understand how to interface, access, and manipulate any database available for them from most computing software using standard connectors</p><br />
<br />
|Description = <br />
<p>The course covers basic use of SQL query based on MySQL, including retrieve data, import data, introduction to database management, etc.. MySQL Connector with other programming language is also covered. Beside of SQL knowledge, advanced technologies related to big data are also covered, including HADOOP, NoSQL.</p><br />
<br />
|Textbook = <br />
<p>MySQL, Fifth Edition by Paul DuBois</p><br />
<br />
|Reading = <br />
<p>MySQL Cookbook: Solutions for Database Developers and Administrators</p><br />
<br />
|GradingPolicy = <br />
<p>Assignments – 60% Final Projects – 30%Performance - 10%</p> <br />
}}<br />
== Lecture Outline ==<br />
<table style="font-size: 12.16px; line-height: 15.808px; height: 150px; width: 572px;" border="1"><br />
<br />
<tr style="height: 11px;"><br />
<td style="width: 137px; height: 11px;">Week (Date)</td><br />
<td style="width: 361px; height: 11px;"> Topic (W) 50min</td><br />
<td style="width: 126px; height: 11px;">Date</td><br />
<td style="width: 589px; height: 11px;"> <span style="line-height: 15.808px;">Topic (F) 1.5hr</span></td><br />
</tr><br />
<tr style="height: 21px;"><br />
<td style="width: 137px; height: 21px;">1 Jan 18</td><br />
<td style="width: 361px; height: 21px;"><br />
<ul><br />
<li>Introduction to the class</li><br />
<li>Set up MySQL</li><br />
</ul><br />
</td><br />
<td style="width: 126px; height: 21px;">Jan 20</td><br />
<td style="width: 589px; height: 21px;"><br />
<ul><br />
<li>Introduction to RDBMS</li><br />
<li>Connection, Data Type, Table Creation</li><br />
<li>Practice</li><br />
</ul><br />
</td><br />
</tr><br />
<tr style="height: 21px;"><br />
<td style="width: 137px; height: 21px;">2 Jan 25</td><br />
<td style="width: 361px; height: 21px;"><br />
<ul><br />
<li>SELECT Query I</li><br />
</ul><br />
</td><br />
<td style="width: 126px; height: 21px;"><br />
<p>Jan 27</p><br />
</td><br />
<td style="width: 589px; height: 21px;"><br />
<ul><br />
<li>Database Backup &amp; Restore</li><br />
<li>File I/O</li><br />
<li>SELECT II</li><br />
<li>Practice</li><br />
</ul><br />
</td><br />
</tr><br />
<tr style="height: 21px;"><br />
<td style="width: 137px; height: 21px;">3 Feb 1</td><br />
<td style="width: 361px; height: 21px;"><br />
<ul><br />
<li>INSERT/DELETE</li><br />
<li>Data &amp; Table manipulation</li><br />
<li>Practice</li><br />
</ul><br />
</td><br />
<td style="width: 126px; height: 21px;"><br />
<p>Feb 3</p><br />
</td><br />
<td style="width: 589px; height: 21px;"><br />
<ul><br />
<li>Table relationship</li><br />
<li>JOIN</li><br />
<li>Practice</li><br />
</ul><br />
</td><br />
</tr><br />
<tr style="height: 21px;"><br />
<td style="width: 137px; height: 21px;">4 Feb 8</td><br />
<td style="width: 361px; height: 21px;"><br />
<ul><br />
<li>Subquery</li><br />
</ul><br />
</td><br />
<td style="width: 126px; height: 21px;"><br />
<p>Feb 10</p><br />
</td><br />
<td style="width: 589px; height: 21px;"><br />
<ul><br />
<li>Views, Temporary Table</li><br />
<li>Key</li><br />
</ul><br />
</td><br />
</tr><br />
<tr style="height: 23px;"><br />
<td style="width: 137px; height: 23px;">5 Feb 15</td><br />
<td style="width: 361px; height: 23px;"><br />
<ul><br />
<li>Index, FULLTEXT</li><br />
<li>Query Optimization</li><br />
<li>Practice</li><br />
</ul><br />
</td><br />
<td style="width: 126px; height: 23px;"><br />
<p>Feb 17</p><br />
</td><br />
<td style="width: 589px; height: 23px;"><br />
<ul><br />
<li>Function</li><br />
<li>Procedure</li><br />
</ul><br />
</td><br />
</tr><br />
<tr style="height: 28px;"><br />
<td style="width: 137px; height: 28px;">6 </td><br />
<td style="width: 361px; height: 28px;"> </td><br />
<td style="width: 126px; height: 28px;"><br />
<p>Feb 24</p><br />
</td><br />
<td style="width: 589px; height: 28px;"><br />
<ul><br />
<li>Procedure</li><br />
</ul><br />
</td><br />
</tr><br />
<tr style="height: 28px;"><br />
<td style="width: 137px; height: 28px;">7 Mar 1</td><br />
<td style="width: 361px; height: 28px;"><br />
<ul><br />
<li>Trigger, Event</li><br />
</ul><br />
</td><br />
<td style="width: 126px; height: 28px;"><br />
<p>Mar 3</p><br />
</td><br />
<td style="width: 589px; height: 28px;"><br />
<ul><br />
<li>Database Administrator</li><br />
<li>Database Design</li><br />
<li>SQL Connector</li><br />
</ul><br />
</td><br />
</tr><br />
<tr style="height: 28px;"><br />
<td style="width: 137px; height: 28px;">8 Mar 8</td><br />
<td style="width: 361px; height: 28px;"><br />
<ul style="line-height: 15.808px;"><br />
<li>Introduction to NoSQL</li><br />
<li>Set up MongoDB</li><br />
</ul><br />
</td><br />
<td style="width: 126px; height: 28px;">Mar 10</td><br />
<td style="width: 589px; height: 28px;"><br />
<ul><br />
<li>Introduction to MongoDB</li><br />
<li>Create database, collection, document (update, delete)</li><br />
</ul><br />
</td><br />
</tr><br />
<tr style="height: 28px;"><br />
<td style="width: 137px; height: 28px;">9 Mar22</td><br />
<td style="width: 361px; height: 28px;"><br />
<ul><br />
<li>Conditions</li><br />
<li>Sort</li><br />
<li>Aggregates</li><br />
</ul><br />
</td><br />
<td style="width: 126px; height: 28px;"><br />
<p>Mar 24</p><br />
</td><br />
<td style="width: 589px; height: 28px;"><br />
<ul><br />
<li>Index</li><br />
<li>Practice</li><br />
</ul><br />
</td><br />
</tr><br />
<tr style="height: 28px;"><br />
<td style="width: 137px; height: 28px;">10 Mar 29</td><br />
<td style="width: 361px; height: 28px;"><br />
<ul><br />
<li>Text Search</li><br />
<li>Covered Query</li><br />
</ul><br />
</td><br />
<td style="width: 126px; height: 28px;"><br />
<p>Mar 31</p><br />
</td><br />
<td style="width: 589px; height: 28px;"><br />
<ul><br />
<li>MongoDB Administration</li><br />
<li>Connector</li><br />
</ul><br />
</td><br />
</tr><br />
<tr style="height: 28px;"><br />
<td style="width: 137px; height: 28px;">11 Apr 5</td><br />
<td style="width: 361px; height: 28px;"><br />
<ul style="line-height: 15.808px;"><br />
<li>MongoDB Practice</li><br />
</ul><br />
</td><br />
<td style="width: 126px; height: 28px;">Apr 7</td><br />
<td style="width: 589px; height: 28px;"><br />
<ul style="line-height: 15.808px;"><br />
<li>OneTick I</li><br />
</ul><br />
</td><br />
</tr><br />
<tr style="height: 28px;"><br />
<td style="width: 137px; height: 28px;">12 Apr 12</td><br />
<td style="width: 361px; height: 28px;"><br />
<ul><br />
<li>HADOOP I</li><br />
</ul><br />
</td><br />
<td style="width: 126px; height: 28px;"> </td><br />
<td style="width: 589px; height: 28px;"> </td><br />
</tr><br />
<tr style="height: 28px;"><br />
<td style="width: 137px; height: 28px;">13 Apr 19</td><br />
<td style="width: 361px; height: 28px;"><br />
<ul><br />
<li>HADOOP I</li><br />
</ul><br />
</td><br />
<td style="width: 126px; height: 28px;">Apr 21</td><br />
<td style="width: 589px; height: 28px;"><br />
<ul><br />
<li>HADOOP II</li><br />
<li>Practice</li><br />
</ul><br />
</td><br />
</tr><br />
<tr style="height: 28px;"><br />
<td style="width: 137px; height: 28px;">14 Apr 26</td><br />
<td style="width: 361px; height: 28px;"><br />
<ul><br />
<li>Data Visualization I</li><br />
</ul><br />
</td><br />
<td style="width: 126px; height: 28px;">Apr 28</td><br />
<td style="width: 589px; height: 28px;"><br />
<ul><br />
<li>Data Visualization II</li><br />
</ul><br />
</td><br />
</tr><br />
<tr style="height: 28px;"><br />
<td style="width: 137px; height: 28px;">15 May 3</td><br />
<td style="width: 361px; height: 28px;"><br />
<ul><br />
<li>Q&amp;A</li><br />
</ul><br />
</td><br />
<td style="width: 126px; height: 28px;">May 4</td><br />
<td style="width: 589px; height: 28px;"><br />
<ul><br />
<li>Final Presentation</li><br />
</ul><br />
</td><br />
</tr><br />
<br />
</table><br />
<p style="font-size: 12.16px; line-height: 15.808px;"> </p></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE514_Financial_Lab:_VBA_in_Finance&diff=4944
FE514 Financial Lab: VBA in Finance
2018-02-15T20:32:48Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Amin Salighehdar]]<br />
|Email = asalighe@stevens.edu<br />
|Phone = <br />
|Office = Altofer 301<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Amin_Salighehdar.jpg<br />
|Office_Hour = Thursday 3:00PM-5:00PM<br />
<br />
|Classroom = <br />
Hanlon Financial System Lab<br />
|Classtime = <br />
Thursday 12:00pm-1:00pm<br />
|Opening_Term = Fall On Campus, Spring On Campus<br />
<br />
|Course_Intro =<br />
This course is an introduction to programming with VBA – the Visual Basic for Applications language. In this course, students will obtain VBA programming skills which enable them to understand and implement financial models. Students will learn how a simple VBA macro can automate time-consuming tasks and calculations. Furthermore, they will learn how advanced programs may be used for complex <br />
derivative pricing directly within excel.<br />
<br />
<br />
|Outcomes = <br />
<p>After taking this course, students will be able to:</p><br />
<ol><br />
<li> Implement financial programs and models within the Excel/VBA environment.</li><br />
<li>Create customized functions and procedures to facilitate computation.</li><br />
<li>Write well-structured programs and understand VBA data structures and objects.</li><br />
</ol><br />
<br />
|Description = <br />
<br />
<br />
|Textbook = <br />
<ol><br />
<li>Chapra C. Steven, Introduction to VBA for Excel, 2nd edition, Prentice Hall, 2010. (required).</li><br />
<li><span style="font-size: 11.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Simon Benninga, <i>Financial Modeling (MIT Press)</i>, fourth edition. </span>(recommended)</li><br />
<li>Chandan Sengupta, Financial Modeling Using Excel and VBA, Wiley, 2nd Edition .</li><br />
<li>Jackson Mary and Mike Staunton, Advanced modelling in finance using Excel and VBA, Wiley June 2001 .</li><br />
<li>Lai Donny C. F., Humphrey K. K. Tung, Michael C. S. Wong and Stephen Ng, Professional Financial Computing using Excel and VBA, Wiley, June 2010 .</li><br />
<li>Rouah Fabrice D. and Gregory Vainberg Option Pricing Models and Volatility using Excel-VBA, Wiley, April 2007 .</li><br />
</ol><br />
<br />
|Reading = <br />
<br />
<br />
|GradingPolicy = <br />
<p>Assignments – 60% Final Projects – 40%</p> <br />
}}<br />
== Lecture Outline ==<br />
<table style="width: 600px;" border="1"><br />
<br />
<tr style="height: 15px;"><br />
<td style="width: 72px; height: 15px;"> </td><br />
<td style="width: 427px; height: 15px;"><strong>Topic</strong></td><br />
<td style="width: 394px; height: 15px;"><strong>Readings</strong></td><br />
<td style="width: 101px; height: 15px;"><strong>Assignment</strong></td><br />
</tr><br />
<tr style="height: 78px;"><br />
<td style="width: 72px; height: 78px;"><strong>Week 1</strong></td><br />
<td style="width: 427px; height: 78px;"><br />
<p class="MsoNormal"><span style="font-size: 10.0pt; line-height: 115%;">Getting Started with Excel</span></p><br />
<p class="MsoNormal">Review of Excel Built-In Functions</p><br />
</td><br />
<td style="width: 394px; height: 78px;"><br />
<p class="MsoNormal"><span style="font-size: 10.0pt; line-height: 115%;">Lecture notes</span></p><br />
<p class="MsoNormal"><span style="font-size: 10.0pt; line-height: 115%;">Chapter 33-35 (Textbook 2)</span></p><br />
<span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Chapter 4 (Textbook 3)</span></td><br />
<td style="width: 101px; height: 78px;"> </td><br />
</tr><br />
<tr style="height: 78px;"><br />
<td style="width: 72px; height: 78px;"><strong>Week 2</strong></td><br />
<td style="width: 427px; height: 78px;"><span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Review of Excel Built-In functions and Analysis tools</span></td><br />
<td style="width: 394px; height: 78px;"><br />
<p class="MsoNormal"><span style="font-size: 10.0pt; line-height: 115%;">Lecture notes</span></p><br />
<p class="MsoNormal"><span style="font-size: 10.0pt; line-height: 115%;">Chapter 33-35 (Textbook2)</span></p><br />
<span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Chapter 4 (Textbook 3)</span></td><br />
<td style="width: 101px; height: 78px;"> </td><br />
</tr><br />
<tr style="height: 89px;"><br />
<td style="width: 72px; height: 89px;"><strong>Week 3</strong></td><br />
<td style="width: 427px; height: 89px;"><br />
<p class="MsoNormal"><span style="font-size: 10.0pt; line-height: 115%;">VBA Environment and Macro Recording</span></p><br />
<span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Data Types, Constants and Variables- Variable scope </span></td><br />
<td style="width: 394px; height: 89px;"><br />
<p class="MsoNormal"><span style="font-size: 10.0pt; line-height: 115%;">Chapters 1-3 (Textbook 1)</span></p><br />
<p class="MsoNormal"><span style="font-size: 10.0pt; line-height: 115%;">Lecture notes</span></p><br />
<p class="MsoNormal"><span style="font-size: 10.0pt; line-height: 115%;">Chapter 8 (Textbook 1)</span></p><br />
</td><br />
<td style="width: 101px; height: 89px;"><span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Assignment 1</span></td><br />
</tr><br />
<tr style="height: 93px;"><br />
<td style="width: 72px; height: 93px;"><strong>Week 4</strong></td><br />
<td style="width: 427px; height: 93px;"><br />
<p class="MsoNormal"><span style="font-size: 10.0pt; line-height: 115%;">Functions</span></p><br />
<p class="MsoNormal"><span style="font-size: 10.0pt; line-height: 115%;">Modular Programming </span></p><br />
<span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Sub procedures vs. Function procedures, passing by value vs. reference</span></td><br />
<td style="width: 394px; height: 93px;"><br />
<p class="MsoNormal"><span style="font-size: 10.0pt; line-height: 115%;">Chapter 4 -5 (Textbook 1)</span></p><br />
</td><br />
<td style="width: 101px; height: 93px;"> </td><br />
</tr><br />
<tr style="height: 45px;"><br />
<td style="width: 72px; height: 45px;"><strong>Week 5</strong></td><br />
<td style="width: 427px; height: 45px;"><span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">The VBA Object Browser and Library: Objects, Properties, Methods, and Collections. Working with ranges.</span></td><br />
<td style="width: 394px; height: 45px;"><br />
<p class="MsoNormal"><span style="font-size: 10.0pt; line-height: 115%;">Chapter 6 (Textbook 1)</span></p><br />
<span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Chapter 15 (Textbook 3)</span></td><br />
<td style="width: 101px; height: 45px;"> </td><br />
</tr><br />
<tr style="height: 15px;"><br />
<td style="width: 72px; height: 15px;"><strong>Week 6</strong></td><br />
<td style="width: 427px; height: 15px;"><br />
<p class="MsoNormal"><span style="font-size: 10.0pt; line-height: 115%;">Structured Programming I: Decisions- </span></p><br />
<span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Nesting and Compound logical expressions</span></td><br />
<td style="width: 394px; height: 15px;"><span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Chapter 11 (Textbook 1)</span></td><br />
<td style="width: 101px; height: 15px;"><span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Assignment 2</span></td><br />
</tr><br />
<tr style="height: 15px;"><br />
<td style="width: 72px; height: 15px;"><strong>Week 7</strong></td><br />
<td style="width: 427px; height: 15px;"><br />
<p class="MsoNormal"><span style="font-size: 10.0pt; line-height: 115%;">Structured Programming II: Loops: For/Next, </span></p><br />
<span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Do/While/Exit</span></td><br />
<td style="width: 394px; height: 15px;"><span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Chapter 12 (Textbook 1)</span></td><br />
<td style="width: 101px; height: 15px;"> </td><br />
</tr><br />
<tr style="height: 15px;"><br />
<td style="width: 72px; height: 15px;"><strong>Week 8</strong></td><br />
<td style="width: 427px; height: 15px;"><span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Working with data structures: Arrays, Passing Arrays to Procedures, Dynamic Arrays (vs. static) and the ReDim statement, Data Records</span></td><br />
<td style="width: 394px; height: 15px;"><span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Chapter 13 (Textbook 1)</span></td><br />
<td style="width: 101px; height: 15px;"><span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Assignment 3</span></td><br />
</tr><br />
<tr style="height: 15px;"><br />
<td style="width: 72px; height: 15px;"><strong>Week 9</strong></td><br />
<td style="width: 427px; height: 15px;"><br />
<p class="MsoNormal"><span style="font-size: 10.0pt; line-height: 115%;">Creating and Accessing Files</span></p><br />
<span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">VBA API for Bloomberg </span></td><br />
<td style="width: 394px; height: 15px;"><br />
<p class="MsoNormal"><span style="font-size: 10.0pt; line-height: 115%;">Chapter 14 (Textbook 1)</span></p><br />
<span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Lecture Notes.</span></td><br />
<td style="width: 101px; height: 15px;"> </td><br />
</tr><br />
<tr style="height: 15px;"><br />
<td style="width: 72px; height: 15px;"><strong>Week 10</strong></td><br />
<td style="width: 427px; height: 15px;"><span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Creating custom Input, message boxes, other GUI objects- User Forms</span></td><br />
<td style="width: 394px; height: 15px;"><br />
<p class="MsoNormal"><span style="font-size: 10.0pt; line-height: 115%;">Chapter 10 (Textbook 1)</span></p><br />
<span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Chapter 15 (Textbook 1)</span></td><br />
<td style="width: 101px; height: 15px;"><span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Assignment 4</span></td><br />
</tr><br />
<tr style="height: 15px;"><br />
<td style="width: 72px; height: 15px;"><strong>Week 11</strong></td><br />
<td style="width: 427px; height: 15px;"><span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Financial Application using VBA</span></td><br />
<td style="width: 394px; height: 15px;"><br />
<p class="MsoNormal"><span style="font-size: 10.0pt; line-height: 115%;">The Binomial Option-Pricing Models. </span></p><br />
<span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Option Greeks</span></td><br />
<td style="width: 101px; height: 15px;"> </td><br />
</tr><br />
<tr style="height: 15px;"><br />
<td style="width: 72px; height: 15px;"><strong>Week 12</strong></td><br />
<td style="width: 427px; height: 15px;"><span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Financial Application using VBA</span></td><br />
<td style="width: 394px; height: 15px;"><br />
<p class="MsoNormal"><span style="font-size: 10.0pt; line-height: 115%;">The Black-Scholes Models</span></p><br />
<span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Using Monte Carlo Methods for Option Pricing</span></td><br />
<td style="width: 101px; height: 15px;"><span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Project description due </span></td><br />
</tr><br />
<tr style="height: 15px;"><br />
<td style="width: 72px; height: 15px;"><strong>Week 13</strong></td><br />
<td style="width: 427px; height: 15px;"><span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; color: #984806; mso-themecolor: accent6; mso-themeshade: 128; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Thanksgiving break – No Classes</span></td><br />
<td style="width: 394px; height: 15px;"> </td><br />
<td style="width: 101px; height: 15px;"> </td><br />
</tr><br />
<tr style="height: 15px;"><br />
<td style="width: 72px; height: 15px;"><strong>Week 14</strong></td><br />
<td style="width: 427px; height: 15px;"><span style="font-size: 10.0pt; line-height: 115%; font-family: 'Calibri',sans-serif; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: 'Times New Roman'; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Final Project Presentations</span></td><br />
<td style="width: 394px; height: 15px;"> </td><br />
<td style="width: 101px; height: 15px;"> </td><br />
</tr><br />
<br />
</table><br />
<p> </p><br />
<p> </p><br />
<p> </p><br />
<p> </p><br />
<p> </p></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE513_Financial_Lab:_Database_Design&diff=4943
FE513 Financial Lab: Database Design
2018-02-15T20:32:44Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Xiaodi Zhu]]<br />
|Email = xzhu@stevens.edu<br />
|Phone = <br />
|Office = Altofer 301<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/DSC_4806_-_Copy.JPG<br />
|Office_Hour = Tue 8:00 - 5p.m.<br />
<br />
|Classroom = <br />
Hanlon Lab 1<br />
|Classtime = <br />
Tue 8:00p.m. - 9:00p.m.<br />
|Opening_Term = Fall On Campus, Fall Online, Spring On Campus, Spring Online<br />
<br />
|Course_Intro =<br />
The course provides an introduction to SQL databases and data mining techniques as available to the Hanlon Financial Systems Lab. At the end of the course the students will be familiar with all the lab data resources as well as a working knowledge on how to use them. The students will receive hands on instructions about setting up and working with databases. Most of the software will be introduced using case studies or demonstrations, followed by a lecture of related fundamental knowledge. The course covers SQL and R. The course will cover accessing databases using API, downloading data using API, working on basic data mining techniques.<br />
<br />
|Outcomes = <br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Tahoma, sans-serif;">After taking this course, the students will be able to: Will be able to extract certain data from database using SQL. Will get basic knowledge about programming in R. Will understand basic data mining concepts (clustering &amp; classification) and be able to implement them in R. Will get basic knowledge about data visualization using R. Will get basic knowledge about big data analysis.</span></p><br />
<br />
|Description = <br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Welcome to FE513! The course aims to introduce the required techniques and fundamental knowledge in data science techniques. It helps students to be familiar with database and data analysis tools. Students will be able to manage data in database and solve financial problems using R program packages. This course is designed for graduate students in the Financial Engineering program at the School of Business.</span></p><br />
<br />
|Textbook = <br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">None. Instead, we have a list of recommended readings.</span></p><br />
<br />
|Reading = <br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Your final grade will be determined by the number of points you collect. </span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Homework: 60% </span></p><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Tahoma, sans-serif;">Final: 40%</span><span style="font-size: 11.5pt; line-height: 107%; font-family: 'Calibri',sans-serif; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-bidi-font-family: Calibri; color: black; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;"> </span></p><br />
<br />
|GradingPolicy = <br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">It is very important to us that all assignments are properly graded. If you believe there is an error in your assignment grading, please submit an explanation via email me <strong>within 7 days of receiving the grade</strong>. No regrade requests will be accepted orally. </span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;"><strong>This course has a zero tolerance policy for academic dishonesty, and anyone caught will immediately receive an F for the course grade.</strong> You <strong>may not</strong> under any circumstances give a copy of your code to another student, or use another students’ code to help you write your own code. </span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Identical assignments not only include 100% identical works, but also include works with different variable names and comments but the same logic, code style, etc.. </span></p><br />
<p> </p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;"><strong>Due dates are firm</strong>. Late submission will not be accepted under any circumstance without prior notice and permission from the instructor. At least 20% Points will be deducted for late submission without notice. For full-time students, excuses such as "busy for on-campus job", "preparing for interview", "working on other courses" are not accepted. For part-time students, please notice the instructor in prior if you have "heavy work load", "business travel", "business meeting", etc. which may affect the homework submission. </span></p> <br />
}}<br />
== Lecture Outline ==<br />
<table style="height: 195px; width: 640px;"><br />
<br />
<tr><br />
<td style="width: 64px;"><br />
<p class="MsoNormal" style="line-height: normal; text-align: center;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Week</span></p><br />
</td><br />
<td style="width: 410px;"><br />
<p class="MsoNormal" style="line-height: normal; text-align: center;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Topic </span></p><br />
</td><br />
<td style="width: 160px;"><br />
<p class="MsoNormal" style="line-height: normal; text-align: center;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Homework</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 64px; text-align: center;">1</td><br />
<td style="width: 410px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Intro to course, working environment setup</span></p><br />
</td><br />
<td style="width: 160px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 64px; text-align: center;">2</td><br />
<td style="width: 410px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Basic R programming, Usage of Packages and functions </span></p><br />
</td><br />
<td style="width: 160px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Assignment I Publish </span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 64px; text-align: center;">3</td><br />
<td style="width: 410px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">R I: Conditional statements and loops </span></p><br />
</td><br />
<td style="width: 160px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 64px; text-align: center;">4</td><br />
<td style="width: 410px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">R II: functions and visualization </span></p><br />
</td><br />
<td style="width: 160px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 64px; text-align: center;">5</td><br />
<td style="width: 410px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">SQL I: create table, Input data, Output data </span></p><br />
</td><br />
<td style="width: 160px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 64px; text-align: center;">6</td><br />
<td style="width: 410px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">SQL II: Basic selection clauses and subquery </span></p><br />
</td><br />
<td style="width: 160px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Assignment I Due </span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Assignment II Publish </span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 64px; text-align: center;">7</td><br />
<td style="width: 410px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Connect R with PostgreSQL &amp; </span><span style="font-family: Tahoma, sans-serif; font-size: 10pt;">R APIs </span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
</td><br />
<td style="width: 160px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 64px; text-align: center;">8</td><br />
<td style="width: 410px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Time series analysis in R &amp; </span>Classification and Clustering in R </p><br />
</td><br />
<td style="width: 160px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 64px; text-align: center;">9</td><br />
<td style="width: 410px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Text mining in R </span></p><br />
</td><br />
<td style="width: 160px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 64px; text-align: center;">10</td><br />
<td style="width: 410px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; line-height: 107%; font-family: Tahoma, sans-serif;">Social-network as graphs in R</span></p><br />
</td><br />
<td style="width: 160px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Assignment II Due </span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Assignment III Publish </span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 64px; text-align: center;">11</td><br />
<td style="width: 410px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">MongoDB I: structure of MongoDB </span></p><br />
</td><br />
<td style="width: 160px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 64px; text-align: center;">12</td><br />
<td style="width: 410px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">MongoDB II: query </span></p><br />
</td><br />
<td style="width: 160px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 64px; text-align: center;">13</td><br />
<td style="width: 410px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">HADOOP and Big Data Practice </span></p><br />
</td><br />
<td style="width: 160px;"> </td><br />
</tr><br />
<tr><br />
<td style="width: 64px; text-align: center;">14</td><br />
<td style="width: 410px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Final exam </span></p><br />
</td><br />
<td style="width: 160px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Assignment III Due</span></p><br />
</td><br />
</tr><br />
<br />
</table><br />
<p> </p></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=QF302_Financial_Market_Microstructure_%26_Trading_Strategies&diff=4942
QF302 Financial Market Microstructure & Trading Strategies
2018-02-15T20:32:25Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[German Creamer]]<br />
|Email = german.creamer@stevens.edu<br />
|Phone = (201) 216 8986<br />
|Office = Babbio 637<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/G_Creamer.jpg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
<br />
|Classtime = <br />
<br />
|Opening_Term = Spring On Campus<br />
<br />
|Course_Intro =<br />
This course will offer students an understanding of the main micro-structural features of financial markets, and the opportunity to test and practice different trading strategies.<br />
The course concentrates on the operations of exchanges, trading systems and broker/dealer intermediaries. Students will have a high level view of the trading decision process, market structure design, and market structure regulation. The course is based on computer simulations that recreate a trading environment and the typical challenges faced by professional traders. <br />
Prerequisites: QF301 or instructor permission <br />
<br />
|Outcomes = <br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">By the end of this course, the students will be able to:</span><br style="color: #000000; font-family: sans-serif; font-size: 14px;" /><span style="color: #000000; font-family: sans-serif; font-size: 14px;">1. Evaluate different issues that affect the formulation of trading decisions, and market structure design.</span><br style="color: #000000; font-family: sans-serif; font-size: 14px;" /><span style="color: #000000; font-family: sans-serif; font-size: 14px;">2. Understand economic concepts such as market efficiency, and performance evaluation.</span><br style="color: #000000; font-family: sans-serif; font-size: 14px;" /><span style="color: #000000; font-family: sans-serif; font-size: 14px;">3. Take short term investment decisions with sound analytical considerations.</span></p><br />
<br />
|Description = <br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">This course is for students with an interest in understanding how financial markets are organized, operate and how to trade under different market conditions. Participants may plan to work in the securities industry, investment management companies, IT management consulting or finance/treasury managers of any company interested to interact with sophisticated financial markets.<br /><br /></p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">The main topics covered in this course are:</p><br />
<ul style="line-height: 1.5em; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII='); color: #000000; font-family: sans-serif; font-size: 12.8px;"><br />
<li style="margin-bottom: 0.1em;">Volatility applications: portfolio and risk management</li><br />
<li style="margin-bottom: 0.1em;">High frequency trading</li><br />
<li style="margin-bottom: 0.1em;">Nonlinear models: introduction to machine learning</li><br />
<li style="margin-bottom: 0.1em;">Algorithmic trading</li><br />
<li style="margin-bottom: 0.1em;">Introduction to equity trading &amp; trading simulation</li><br />
<li style="margin-bottom: 0.1em;">Order driven and multiple markets</li><br />
<li style="margin-bottom: 0.1em;">Trading with public and private information</li><br />
<li style="margin-bottom: 0.1em;">Call auctions and dealer markets</li><br />
<li style="margin-bottom: 0.1em;">Dark pools and trading costs</li><br />
<li style="margin-bottom: 0.1em;">Conditional orders, price dynamic, order splitting algorithm</li><br />
<li style="margin-bottom: 0.1em;">Cost structure of trading fees and regulation</li><br />
</ul><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;"> </p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">The course combines class presentations, exercises and trading simulations to develop the basic analytical and trading skills required in a professional trading environment.</p><br />
<br />
|Textbook = <br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;"><b>Required Text(s)</b><br />R. Schwartz, G. Sipress, and B.W. Weber, Mastering the Art of Equity Trading Through Simulation + Web-Based Software: The Traderex Course, Wiley Trading, 2010.<br /><br />Ruey S. Tsay, An Introduction to Financial Data with R, Wiley, 2013 (chapters 5 and 6)<br /><br />Barry Johnson, Algorithmic Trading and DMA, 4Myeloma Press, 2010 (only chapter 1 download <a class="external text" style="color: #663366; background: url('//upload.wikimedia.org/wikipedia/commons/2/23/Icons-mini-file_acrobat.gif') right center no-repeat; padding-right: 18px;" href="http://www.mediafire.com/file/kxa9gve6fxccbg6/algo-dma_preview.pdf" target="_blank" rel="nofollow">here</a> )<br /><br /></p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;"> </p><br />
<br />
|Reading = <br />
<p><b>Optional Readings</b><br />Joel Hasbrouck, Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading, Oxford University Press, 2007. (Chapter 3, 5.1-5.2 and 6. This book can be accessed electronically through the Stevens library)</p><br />
<br />
|GradingPolicy = <br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;"><b>Project:</b>Trading simulations. This report should be based on the results of the trading simulations conducted in class.<br /><br /><b>Homework:</b>Each homework submission should include the report and the code files used in the homework if applicable.<br /><br />All homeworks and reports should be submitted through the course website. Students may discuss lecture and textbook materials, and how to approach assignments; however each student must submit his/her own solution. Students cannot share ideas in any written form: code, pseudocode or solutions. Students cannot submit someone else's work found through internet or any other source, or a modification of that work, with or without that person's knowledge, regardless of the circumstances under which it was obtained, copied, or modified. Homeworks should be submitted through the class website before the deadline.<br /><br /></p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">Late policy: 1 point lost for one day late. No assignments accepted after 1 day late.If you dispute the grade received for an assignment, you must submit, in writing, your detailed and clearly stated argument for what you believe is incorrect and why. This must be submitted by the beginning of the next class after the assignment was returned. Requests for re-grade after the beginning of class will not be accepted. A written response will be provided by the next class indicating your final score. Be aware that requests of re-grade of a specific problem can result in a regrade of the entire assignment. This re-grade and written response is final; no additional re-grades or debate for that assignment.</p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;"> </p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">There will be 12 quizzes (2.5 points each) during the course and your grade will be based on the best 10 grades. There will not be any make up quizz for any reason. The quiz will be taken at the beginning of the lab session or as indicated by the instructor.</p><br />
<table class="wikitable" style="font-size: 12.8px; margin: 1em 1em 1em 0px; background-color: #f9f9f9; border: 1px solid #aaaaaa; border-collapse: collapse; color: #000000; font-family: sans-serif;"><br />
<tbody><br />
<tr><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">Assignment</th><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">Grade %</th><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Project</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">10%</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Homework (2% each)</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">10%</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Participation</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">10%</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Quizzes</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">25%</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Final exam</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">45%<br /><br /></td><br />
</tr><br />
</tbody><br />
</table> <br />
}}<br />
== Lecture Outline ==</div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=QF301_Financial_time_series&diff=4941
QF301 Financial time series
2018-02-15T20:32:21Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[German Creamer]]<br />
|Email = german.creamer@stevens.edu<br />
|Phone = (201) 216 8986<br />
|Office = Babbio 637<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/G_Creamer.jpg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
BC320<br />
|Classtime = <br />
M 10:00-11:40AM & T 02:00-02:50PM <br />
|Opening_Term = Fall On Campus, Spring On Campus<br />
<br />
|Course_Intro =<br />
This course will cover the main topics of the analysis of time series to evaluate risk and return of the main products of capital markets (equity, fixed income, and derivatives). Students will work with historical databases, conduct their own analysis, and conduct tests based on the techniques reviewed during the class. <br />
Prerequisites: QF202, and intermediate statistics (MA331 or BT221 or MGT620) <br />
<br />
|Outcomes = <br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">By the end of this course, the students will be able to:</span><br style="color: #000000; font-family: sans-serif; font-size: 14px;" /><span style="color: #000000; font-family: sans-serif; font-size: 14px;">1. Understand the foundations of financial time series data, including high-frequency data.</span><br style="color: #000000; font-family: sans-serif; font-size: 14px;" /><span style="color: #000000; font-family: sans-serif; font-size: 14px;">2. Apply models and methods for analysis of financial time series (return and volatility).</span><br style="color: #000000; font-family: sans-serif; font-size: 14px;" /><span style="color: #000000; font-family: sans-serif; font-size: 14px;">3. Recognize the value and also the limits of econometric methods in financial time series.</span></p><br />
<br />
|Description = <br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">The significant amount of historical information available for most financial instruments requires a systematic and analytical approach to select an optimal portfolio. Time series analysis facilitates this process understanding, modeling and forecasting the behavior of financial assets.</span><br style="color: #000000; font-family: sans-serif; font-size: 14px;" /><br style="color: #000000; font-family: sans-serif; font-size: 14px;" /><span style="color: #000000; font-family: sans-serif; font-size: 14px;">This course reviews the most important techniques used by investors, risk managers, and also by finance managers of non-financial service companies to analyze time series of their most relevant financial variables. Even though the methodologies reviewed during this course could also be applied to other domains such as marketing, the main emphasis of this class is on financial applications.</span></p><br />
<br />
|Textbook = <br />
<p><b style="color: #000000; font-family: sans-serif; font-size: 14px;">Required Text(s)</b><br style="color: #000000; font-family: sans-serif; font-size: 14px;" /><span style="color: #000000; font-family: sans-serif; font-size: 14px;">R. S. Tsay, Analysis of Financial Time Series, 3rd Ed, John Wiley, 2010. (2nd. Edition can be accessed through the library website)</span><br style="color: #000000; font-family: sans-serif; font-size: 14px;" /><b style="color: #000000; font-family: sans-serif; font-size: 14px;">Optional Readings</b><br style="color: #000000; font-family: sans-serif; font-size: 14px;" /><span style="color: #000000; font-family: sans-serif; font-size: 14px;">• E. Zivot and J. Wang, Modeling Financial Time Series with S-plus, 2nd Ed., Springer, 2005.</span><br style="color: #000000; font-family: sans-serif; font-size: 14px;" /><span style="color: #000000; font-family: sans-serif; font-size: 14px;">• J. Campbell, A. Lo, and A. MacKinlay, The Econometrics of Financial Markets, Princeton University Press, 1997.</span></p><br />
<br />
|Reading = <br />
<br />
<br />
|GradingPolicy = <br />
<br />
}}<br />
== Lecture Outline ==</div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=QF104_Programming_in_R_for_Quantitative_Finance&diff=4940
QF104 Programming in R for Quantitative Finance
2018-02-15T20:32:16Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Elias Aleman]]<br />
|Email = ealemanl@stevens.edu<br />
|Phone = (201) 474 0952<br />
|Office = Babbio 419<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms[]<br />
|Office_Hour = Prior booking required @ eliasaleman.youcanbook.me<br />
<br />
|Classroom = <br />
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|Classtime = <br />
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|Opening_Term = <br />
<br />
|Course_Intro =<br />
Objective of this course is to provide students with formal training on various advanced skills in R. Students will learn a unique skill set prior to entering the workplace.<br />
<br />
|Outcomes = <br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.5pt; font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">After taking this course, students will be able to:</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.5pt; font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">• Download/access historic and real-time data to create standard financial charts and compute technical indicators in R using QuantMod, TTR and the Bloomberg API</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.5pt; font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">• Use R packages for data management, analysis and visualization </span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.5pt; font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">• Compute statistics for financial data in R </span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.5pt; font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">• Perform a regression analysis on financial data</span></p><br />
<p> </p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.5pt; font-family: 'Arial',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">• Query from and write data to a SQL/non-SQL database</span></p><br />
<br />
|Description = <br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif; color: black; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;">Objective of this course is to provide students with formal training on various advanced skills in R. Students will learn a unique skillset prior to entering the workplace. </span><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif; color: black;"><br /> <span style="background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"><span>Prerequisites: QF103</span></span></span></p><br />
<br />
|Textbook = <br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;"><em>Introduction to R</em> – Robert Stinerock – Will be posted</span></p><br />
<br />
|Reading = <br />
<p>http://cran.us.r-project.org/</p><br />
<br />
|GradingPolicy = <br />
<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal; mso-layout-grid-align: none; text-autospace: none;"><span style="font-size: 10.0pt; mso-bidi-font-family: Calibri; mso-bidi-theme-font: minor-latin; color: black;">The assignments and their weights are as shown below:</span></p><br />
<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal; mso-layout-grid-align: none; text-autospace: none;"> </p><br />
<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal; mso-layout-grid-align: none; text-autospace: none;"> </p><br />
<table class="MsoNormalTable" style="font-size: 12.16px; border-collapse: collapse; border: none; height: 328px; width: 266px;" border="1" cellspacing="0" cellpadding="0"><br />
<tbody><br />
<tr><br />
<td style="width: 133.604px; border: 1pt solid windowtext; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal" style="text-align: center;" align="center"> </p><br />
</td><br />
<td style="width: 99.6042px; border-top: 1pt solid windowtext; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-image: initial; border-left: none; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">Grade Percent</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 133.604px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt;" valign="top"><br />
<p>Class Attendance</p><br />
</td><br />
<td style="width: 99.6042px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">10%</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 133.604px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">Class Participation</p><br />
</td><br />
<td style="width: 99.6042px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">10%</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 133.604px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">Assignments</p><br />
</td><br />
<td style="width: 99.6042px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">60%</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 133.604px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">Final Projects</p><br />
</td><br />
<td style="width: 99.6042px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">20%</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 133.604px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">Total Grade</p><br />
</td><br />
<td style="width: 99.6042px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">20%</p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 133.604px; border-right: 1pt solid windowtext; border-bottom: 1pt solid windowtext; border-left: 1pt solid windowtext; border-image: initial; border-top: none; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">Total</p><br />
</td><br />
<td style="width: 99.6042px; border-top: none; border-left: none; border-bottom: 1pt solid windowtext; border-right: 1pt solid windowtext; padding: 0in 5.4pt;" valign="top"><br />
<p class="MsoNormal">100%</p><br />
</td><br />
</tr><br />
</tbody><br />
</table><br />
<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal; mso-layout-grid-align: none; text-autospace: none;"> </p><br />
<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal; mso-layout-grid-align: none; text-autospace: none;"><span style="font-size: 10.0pt; mso-bidi-font-family: Calibri; mso-bidi-theme-font: minor-latin; color: black;"> </span></p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;"> </p><br />
<p class="MsoNormal" style="margin-bottom: .0001pt; line-height: normal; mso-layout-grid-align: none; text-autospace: none;">Please note that assignments in this class may be submitted to www.turnitin.com, a web-based anti-plagiarism system, for an evaluation of their originality.</p> <br />
}}<br />
== Lecture Outline ==<br />
<table style="height: 300px; width: 708px;"><br />
<br />
<tr style="height: 30px;"><br />
<td style="width: 70.6667px; height: 30px;"> </td><br />
<td style="width: 422.333px; height: 30px; text-align: center;"><strong>Topic(s)</strong></td><br />
<td style="width: 195px; height: 30px; text-align: center;"><strong>Assignment Date</strong></td><br />
</tr><br />
<tr style="height: 54px;"><br />
<td style="width: 70.6667px; height: 54px;">Week 1</td><br />
<td style="width: 422.333px; height: 54px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif;">Downloading Time Series Data in R1, RStudio Installation/Packages, Introduction to Quantmod Package</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif;"> Historic Quotes, Splits and Dividends Data</span></p><br />
</td><br />
<td style="width: 195px; height: 54px;"> </td><br />
</tr><br />
<tr style="height: 63.6667px;"><br />
<td style="width: 70.6667px; height: 63.6667px;">Week 2</td><br />
<td style="width: 422.333px; height: 63.6667px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;">Downloading Time Series Data in R2, Introduction to TSeries Package and Bloomberg API</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;">Interest Rates, Indexes (CPI,Moody's,S&amp;P500), Mortgage Rates Data</span></p><br />
</td><br />
<td style="width: 195px; height: 63.6667px;"> </td><br />
</tr><br />
<tr style="height: 14px;"><br />
<td style="width: 70.6667px; height: 14px;">Week 3</td><br />
<td style="width: 422.333px; height: 14px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Data Manipulation and Visualization in R1, Data Structures Overview, Loops (If, For, While) &amp; Apply functions Overview</span></p><br />
</td><br />
<td style="width: 195px; height: 14px;"> Assignment 1</td><br />
</tr><br />
<tr style="height: 14px;"><br />
<td style="width: 70.6667px; height: 14px;">Week 4</td><br />
<td style="width: 422.333px; height: 14px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Data Manipulation and Visualization in R2</span><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">, </span><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Data Wrangling with the Dplyr package</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="color: #000000; font-family: Tahoma, sans-serif;"><span style="font-size: 10pt;">Data Visualization with the GGplot2 package (Line Charts, Bar Charts and </span><span style="font-size: 13.3333px;">Scatter-plots</span><span style="font-size: 10pt;">)</span></span></p><br />
</td><br />
<td style="width: 195px; height: 14px;"> </td><br />
</tr><br />
<tr style="height: 14px;"><br />
<td style="width: 70.6667px; height: 14px;">Week 5</td><br />
<td style="width: 422.333px; height: 14px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="color: #000000; font-family: Tahoma, sans-serif;"><span style="font-size: 10pt;">Statistical Analysis for Financial Data in R1, Market Return Statistics (Mean, Variance, </span><span style="font-size: 13.3333px;">Co-variance</span><span style="font-size: 10pt;">, Kurtosis, Skewness)</span></span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="color: #000000; font-family: Tahoma, sans-serif;"><span style="font-size: 10pt;">HMisc package </span></span></p><br />
</td><br />
<td style="width: 195px; height: 14px;"> </td><br />
</tr><br />
<tr style="height: 14px;"><br />
<td style="width: 70.6667px; height: 14px;">Week 6</td><br />
<td style="width: 422.333px; height: 14px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Statistical Analysis for Financial Data in R2, Multiple Regression Analysis- Treasure Notes Interest Rates Case</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Comparing different regression models with the Stargazer package</span></p><br />
</td><br />
<td style="width: 195px; height: 14px;"> </td><br />
</tr><br />
<tr style="height: 14px;"><br />
<td style="width: 70.6667px; height: 14px;">Week 7</td><br />
<td style="width: 422.333px; height: 14px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Final Project Proposal</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Midterm Evaluation </span></p><br />
</td><br />
<td style="width: 195px; height: 14px;">Assignment 2</td><br />
</tr><br />
<tr style="height: 14px;"><br />
<td style="width: 70.6667px; height: 14px;">Week 8</td><br />
<td style="width: 422.333px; height: 14px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Plotting Financial Charts and computing Financial Indicators 1</span><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">, </span><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Introduction to TRT package</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Charting Moving Averages, Volatility Indicators and Relative Strength Index</span></p><br />
</td><br />
<td style="width: 195px; height: 14px;"> </td><br />
</tr><br />
<tr style="height: 14px;"><br />
<td style="width: 70.6667px; height: 14px;">Week 9</td><br />
<td style="width: 422.333px; height: 14px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Plotting Financial Charts and computing Financial Indicators 2</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Experimental Charts</span></p><br />
</td><br />
<td style="width: 195px; height: 14px;"> </td><br />
</tr><br />
<tr style="height: 14px;"><br />
<td style="width: 70.6667px; height: 14px;">Week 10</td><br />
<td style="width: 422.333px; height: 14px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Advanced Statistical Analysis in R</span><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">,</span><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;"> Introduction to Forecasting Analysis of Time Series</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Package Forecast</span></p><br />
</td><br />
<td style="width: 195px; height: 14px;">Assignment 3</td><br />
</tr><br />
<tr style="height: 14px;"><br />
<td style="width: 70.6667px; height: 14px;">Week 11</td><br />
<td style="width: 422.333px; height: 14px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Advanced Programming 1</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Custom Functions</span></p><br />
</td><br />
<td style="width: 195px; height: 14px;"> </td><br />
</tr><br />
<tr style="height: 14px;"><br />
<td style="width: 70.6667px; height: 14px;">Week 12</td><br />
<td style="width: 422.333px; height: 14px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">Advanced Programming 2</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black;">SQL/MongoDB queries</span></p><br />
</td><br />
<td style="width: 195px; height: 14px;"> </td><br />
</tr><br />
<tr style="height: 14px;"><br />
<td style="width: 70.6667px; height: 14px;">Week 13</td><br />
<td style="width: 422.333px; height: 14px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt;"><span style="color: black; font-family: Tahoma, sans-serif; font-size: 10pt;">Final Project Presentation A</span></span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"> </p><br />
</td><br />
<td style="width: 195px; height: 14px;"> </td><br />
</tr><br />
<tr style="height: 14px;"><br />
<td style="width: 70.6667px; height: 14px;">Week 14</td><br />
<td style="width: 422.333px; height: 14px;"><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif; mso-fareast-font-family: 'Times New Roman'; color: black; mso-bidi-font-weight: bold;">Final Project Presentation A</span></p><br />
</td><br />
<td style="width: 195px; height: 14px;"> </td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=QF103_Introduction_to_Portfolio_Investing&diff=4939
QF103 Introduction to Portfolio Investing
2018-02-15T20:32:11Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Dragos Bozdog]]<br />
|Email = dbozdog@stevens.edu<br />
|Phone = (201) 216 3527<br />
|Office = Babbio 429A<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Dragos_Bozdog.jpg<br />
|Office_Hour = |Name2 = [[Parisa Golbayani ]]<br />
|Email2 = <br />
|Phone2 = <br />
|Office2 = <br />
|Photo_file2 = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/ParisaG.jpg<br />
|Office_Hour2 = <br />
<br />
|Classroom = <br />
Babbio 110<br />
|Classtime = <br />
<br />
|Opening_Term = <br />
<br />
|Course_Intro =<br />
This course will cover the main topics of the analysis of time series to evaluate risk and return of the main products of capital markets (equity, fixed income, and derivatives). Students will work with historical databases, conduct their own analysis, and conduct tests based on the techniques reviewed during the class. <br />
<br />
|Outcomes = <br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">By the end of this course, the students will be able to:</p><br />
<ol style="line-height: 1.5em; margin: 0.3em 0px 0px 3.2em; padding: 0px; list-style-image: none; color: #000000; font-family: sans-serif; font-size: 12.8px;"><br />
<li style="margin-bottom: 0.1em;">Understand the foundations of financial time series data, including high-frequency data</li><br />
<li style="margin-bottom: 0.1em;">Apply models and methods for analysis of financial time series (return and volatility)</li><br />
<li style="margin-bottom: 0.1em;">Recognize the value and also the limits of econometric methods in financial time series.</li><br />
</ol><br />
<br />
|Description = <br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">The significant amount of historical information available for most financial instruments requires a systematic and analytical approach to select an optimal portfolio. Time series analysis facilitates this process understanding, modeling and forecasting the behavior of financial assets. </span><br style="color: #000000; font-family: sans-serif; font-size: 14px;" /><span style="color: #000000; font-family: sans-serif; font-size: 14px;">This course reviews the most important techniques used by investors, risk managers, and also by finance managers of non-financial service companies to analyze time series of their most relevant financial variables. Even though the methodologies reviewed during this course could also be applied to other domains such as marketing, the main emphasis of this class is on financial applications.</span></p><br />
<br />
|Textbook = <br />
<br />
<br />
|Reading = <br />
<br />
<br />
|GradingPolicy = <br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;"><b>Homeworks:</b>The course will have a main project and three assignments of data analysis. The assignments must be submitted electronically through the course website. <br />Each assignment has a value of 5 points. The solutions will be circulated after the due date so each student will have the opportunity to review his/her answers. <br />Students may discuss lecture and textbook materials, and how to approach assignments; however each student must submit his/her own solution. Students cannot share ideas in any written form: code, pseudocode or solutions. Students cannot submit someone else's work found through internet or any other source, or a modification of that work, with or without that person's knowledge, regardless of the circumstances under which it was obtained, copied, or modified. Homeworks should be submitted through the class website before the deadline. <br />For all the homeworks, students should send a report and an R program organized by questions. Please do not copy and paste large parts of the R program as part of the solutions. Create your own tables with the R output whenever it is possible or copy small sections of the R program and EXPLAIN the results. <br />Late policy: 1 point lost for each day late. No assignments accepted after 3 days. <br />If you dispute the grade received for an assignment, you must submit, in writing, your detailed and clearly stated argument for what you believe is incorrect and why. This must be submitted by the beginning of the next class after the assignment was returned. Requests for re-grade after the beginning of class will not be accepted. A written response will be provided by the next class indicating your final score. Be aware that requests of re-grade of a specific problem can result in a regrade of the entire assignment. This re-grade and written response is final; no additional re-grades or debate for that assignment. <br /><b>Project:</b> The main objective of the project is to apply the theory of time series to analyze a financial problem using historical datasets. Students are expected to use most of the methodologies reviewed in class and present different forecasting scenarios with their financial recommendations. Each project must be developed by groups of three students and they should present a project proposal in the middle of the semester. <br /><b>Exams:</b> The midterm and final exams will cover the first and second part of the class respectively. They are not cumulative. <br /><b>Software:</b> R is the main software packages that will be used. </p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">4 Assignments are required<br />Examinations: BESS – BBG Certification<br />The assignments and their weights are as shown below:</p><br />
<ol style="line-height: 1.5em; margin: 0.3em 0px 0px 3.2em; padding: 0px; list-style-image: none; color: #000000; font-family: sans-serif; font-size: 12.8px;"><br />
<li style="margin-bottom: 0.1em;">Assignments - 15%</li><br />
<li style="margin-bottom: 0.1em;">Team project - 25%</li><br />
<li style="margin-bottom: 0.1em;">Participation - 10%</li><br />
<li style="margin-bottom: 0.1em;">Midterm - 25%</li><br />
<li style="margin-bottom: 0.1em;">Final - 25%</li><br />
</ol><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">TOTAL - 100%</p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">Please note that assignments in this class may be submitted to www.turnitin.com, a web-based antiplagiarism system, for an evaluation of their originality.</p><br />
<p> </p> <br />
}}<br />
== Lecture Outline ==</div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=BIA686_Applied_Analytics&diff=4919
BIA686 Applied Analytics
2018-02-15T20:02:31Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Christopher Asakiewicz]]<br />
|Email = Christopher.Asakiewicz@stevens.edu<br />
|Phone = (201) 216 8012<br />
|Office = Babbio 427<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/C_Asakiewicz.jpg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
BC321<br />
|Classtime = <br />
M 03:15-05:45PM<br />
|Opening_Term = Fall On Campus, Spring On Campus<br />
<br />
|Course_Intro =<br />
Business intelligence and analytics is key to enabling successful competition in today’s world of “big data”. This course focuses on helping students to not only understand how best to leverage business intelligence and analytics to become more effective decision makers, making smarter decisions and generating better results for their organizations. Students have an opportunity to apply the concepts, principles, and methods associated with four areas of analytics (text, descriptive, predictive, and prescriptive) to real problems in an application domain associated with their area of interest. <br />
<br />
|Outcomes = <br />
<p>After taking this course, the student will be able to:</p><br />
<ul><br />
<li>Analyze the impact of BI&amp;A on the organization</li><br />
<li>Understand how best to apply BI&amp;A methods and techniques in addressing strategic business problems</li><br />
<li>Understand the role of BI&amp;A in helping organizations make better decisions</li><br />
<li>Conduct an in-depth analysis of a strategic business problem</li><br />
<li>Communicate the results of an in-depth analysis to both a technical and management audience</li><br />
</ul><br />
<br />
|Description = <br />
<p>The course is designed to facilitate students’ understanding of how to leverage BI&amp;A in their organization. The course examines four critical areas of analytics, namely: text analytics, descriptive analytics, predictive analytics, and prescriptive analytics. Students learn how these types of analytics are used to address critical business issues, as well as how they can enable/drive organizations to conduct business in radically different and more effective/efficient ways. It covers the current and emerging issues of BI&amp;A strategy and management, as well as the tactical, operational, and strategic responsibilities and roles of business executives in leveraging their BI&amp;A resources.</p><br />
<ul><br />
<li>Text analytics seeks to turn unstructured data into information for analysis.</li><br />
<li>Descriptive analytics aims to provide insight into what has happened</li><br />
<li>Predictive analytics helps model and forecast what might happen.</li><br />
<li>Prescriptive analytics seeks to determine the best solution or outcome among various</li><br />
</ul><br />
<p>choices, given the known parameters, as well as, suggest decision options for how to take advantage of a future opportunity or mitigate a future risk, and illustrate the implications of each decision option.</p><br />
<p>Additional learning objectives include: An understanding of and a ability to apply a broad range of analytic techniques including optimization, conceptual data modeling, data warehousing and mining. This objective is assessed through a comprehensive exam comprising short questions supplied by instructors of all the courses that have been taken to date by each student. A passing grade must be obtained.</p><br />
<br />
|Textbook = <br />
<p><em>Robert Nisbet, et. al. (2009) Handbook of Statistical Analysis &amp; Data Mining Applications</em>. Elsevier/Academic Press. San Diego, California. ISBN: 978-0-12-374765-5.</p><br />
<p><em>Bart Baesens (2014) Analytics in a Big Data World: The Essential Guide to Data Science and its Applications</em>, John Wiley &amp; Sons, New York, New York. ISBN: 978-1-118-39270-1.</p><br />
<p> </p><br />
<br />
|Reading = <br />
<p><em>Thomas Davenport, et.al. (2010) Analytics at Work</em>. Harvard Business School Press. Boston, Massachusetts. ISBN: 978-1-4221-7769-3.</p><br />
<p><em>Thomas Davenport, et. al. (2007) Competing on Analytics: The New Science of Winning</em>. Harvard Business School Press. Boston, Massachusetts. ISBN: 978-1-4421-0332-6.</p><br />
<p><em>Steve LaValle, et. al. (2011) Big Data, Analytics and the Path From Insights to Value</em>. MIT Sloan Management Review. Winter 2011, Vol. 52, No. 2.</p><br />
<p><em>David Boller (2010) The Promise and Peril of Big Data</em>. The Aspen Institute, Washington, DC Available at: http://www.thinkbiganalytics.com/uploads/Aspen-Big_Data.pdf</p><br />
<br />
|GradingPolicy = <br />
<p>Class work 55% Quiz 5% Final Project 40% <br /> Students have an opportunity to apply the concepts, principles, and methods they have learned to making data-driven decisions using business intelligence and analytics. The course grade is based on the following assignments, mid-term, and final project deliverables.</p><br />
<table class="wikitable"><br />
<tbody><br />
<tr><br />
<th>Deliverable</th><br />
<th>Percent of Grade</th><br />
</tr><br />
<tr><br />
<td>BI&amp;A Review Quiz</td><br />
<td>5</td><br />
</tr><br />
<tr><br />
<td>Case 1 Review</td><br />
<td>10</td><br />
</tr><br />
<tr><br />
<td>Case 2 Review</td><br />
<td>15</td><br />
</tr><br />
<tr><br />
<td>Project Proposal</td><br />
<td>5</td><br />
</tr><br />
<tr><br />
<td>Case 3 Review</td><br />
<td>10</td><br />
</tr><br />
<tr><br />
<td>Case 4 Review</td><br />
<td>15</td><br />
</tr><br />
<tr><br />
<td>Final Project</td><br />
<td>40</td><br />
</tr><br />
<tr><br />
<td>TOTAL</td><br />
<td>100</td><br />
</tr><br />
</tbody><br />
</table><br />
<p> </p><br />
<p><b>Assignments and Final Project: </b> At the beginning of the course, students will be tested on their knowledge of business intelligence and analytical concepts covered in previously taken courses in the curriculum. In addition to refreshing a student’s knowledge of key BI&amp;A concepts from previous courses, the test fulfills the BI&amp;A program’s AACSB Assurance of Learning Goal #3. <br /><br /> Students have an opportunity to work on four case study assignments associated with leveraging business intelligence and analytics. The case studies emphasize “best or leading” practice in better decision making in a specific business/industry domain. Case descriptions highlight a strategic application of analytics, namely: text analytics, descriptive analytics (business intelligence), predictive analytics (modeling), and prescriptive analytics (optimization, simulation, decision management). Each strategic application is framed within the context of a specific business problem associated with “big data” and its use in a particular area of the enterprise (e.g., Finance, Manufacturing, R&amp;D, etc.).</p><br />
<p> </p><br />
<table class="wikitable" style="height: 105px;" width="698"><br />
<tbody><br />
<tr><br />
<th style="text-align: center; width: 121.333px;">Case Number </th><br />
<th style="width: 158.667px;">Enterprise Area</th><br />
<th style="width: 396.667px;">Problem Area</th><br />
</tr><br />
<tr><br />
<td style="width: 121.333px;">Case 1</td><br />
<td style="width: 158.667px;">Research</td><br />
<td style="width: 396.667px;">Text Analytics and Productivity Enhancement</td><br />
</tr><br />
<tr><br />
<td style="width: 121.333px;">Case 2</td><br />
<td style="width: 158.667px;">Development</td><br />
<td style="width: 396.667px;">Descriptive Analytics and Portfolio Management</td><br />
</tr><br />
<tr><br />
<td style="width: 121.333px;">Case 3</td><br />
<td style="width: 158.667px;">Sales and Marketing</td><br />
<td style="width: 396.667px;">Predictive Analytics and Strategy Effectiveness</td><br />
</tr><br />
<tr><br />
<td style="width: 121.333px;">Case 4</td><br />
<td style="width: 158.667px;">Operations</td><br />
<td style="width: 396.667px;">Prescriptive Analytics and Operations Management</td><br />
</tr><br />
</tbody><br />
</table><br />
<p>The final project provides students with an opportunity to leverage the concepts, principals, and methods they have learned in solving a business problem associated with: Finance, Manufacturing, R&amp;D, Human Resources, Customers, or Suppliers. Students must provide a brief abstract outlining their project area, and associated analysis plan and methodology. Students will present a poster outlining their project’s objectives, methodology, and results at the end of the course. </p> <br />
}}<br />
== Lecture Outline ==</div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=BIA660_Web_Analytics&diff=4918
BIA660 Web Analytics
2018-02-15T20:02:27Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Theodoros Lappas]]<br />
|Email = tlappas@stevens.edu<br />
|Phone = <br />
|Office = Babbio 639<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/1897_Lappas.jpeg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
Section A and B: BC 321, Section C: McLean218B<br />
|Classtime = <br />
Section A: T 06:15-08:45PM, Section B: W 03:15-05:45PM, Section C: R 06:15-08:45PM<br />
|Opening_Term = Fall On Campus, Spring On Campus<br />
<br />
|Course_Intro =<br />
Students will learn through hands-on experience how to extract data from the web and analyze web-scale data using distributed computing.<br />
<br />
|Outcomes = <br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif;">Additional learning objectives include the development of: </span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif;">Data collection and preprocessing skills: students will learn how to identify and profile candidate sources of valuable data, as well as how to automatically collect and manage the information they need for their analytics tasks. </span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif;">Diverse Analytic Skills: students will be exposed to a wide range of both quantitative and qualitative analytics techniques with applications across multiple business domains. <br /> </span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif;">Team Skills: the students will be organized in teams and collaborate on projects for the duration of the course. Each student will evaluate his/her teammates twice during the semester via a customized team survey tool. The tool provides a detailed analysis of a person’s contributions to the different stages of the team’s operation and will be used to promptly identify and address possible problems.</span></p><br />
<p> </p><br />
<br />
|Description = <br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;">Students will learn different analysis methods that are widely used across the range of internet companies, from start-ups to online giants like Amazon or Google. At the end of the course, students will apply these methods to answer a real scientific question.</span></p><br />
<p> </p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif;">Prerequisites: Students must have programming experience. It is also highly recommended for the students to have taken Multivariate Data Analytics (BIA 652), Data &amp; Knowledge Management (MIS 630), and Knowledge Discovery in Databases (MIS 637).</span></p><br />
<br />
|Textbook = <br />
<br />
<br />
|Reading = <br />
<br />
<br />
|GradingPolicy = <br />
<p> </p><br />
<table style="height: 178px;" width="420"><br />
<tbody><br />
<tr><br />
<td style="width: 207.538px; text-align: center;"><strong>Evaluation</strong></td><br />
<td style="width: 197.841px; text-align: center;"><strong>Grade Percent</strong></td><br />
</tr><br />
<tr><br />
<td style="width: 207.538px;">Class work </td><br />
<td style="width: 197.841px;">30%</td><br />
</tr><br />
<tr><br />
<td style="width: 207.538px;">Peer Evaluation </td><br />
<td style="width: 197.841px;">10%</td><br />
</tr><br />
<tr><br />
<td style="width: 207.538px;">Mid-Term Project</td><br />
<td style="width: 197.841px;">20%</td><br />
</tr><br />
<tr><br />
<td style="width: 207.538px;">Final Project</td><br />
<td style="width: 197.841px;">40%</td><br />
</tr><br />
<tr><br />
<td style="width: 207.538px;">Total</td><br />
<td style="width: 197.841px;">100%</td><br />
</tr><br />
</tbody><br />
</table><br />
<p> </p><br />
<p><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif;">Mid-term project</span></p><br />
<p><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif;">Collect, clean and organize online data from 2 different websites of your choice. The deliverable includes 2 datasets, the collection &amp; cleaning scripts, and a presentation to be given in class.</span></p><br />
<h2><span class="mw-headline"><span style="font-size: 10.0pt; line-height: 107%; font-family: 'Tahoma',sans-serif; color: windowtext;">Final project </span></span></h2><br />
<p><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif;">Choose an important research question that emerges in the context of one of the two datasets collected for the midterm project. Develop, apply and record an analytics methodology to address your question. This work will be presented in class.</span></p> <br />
}}<br />
== Lecture Outline ==<br />
<h3><span id="Syllabus" class="mw-headline"> Syllabus </span></h3><br />
<table class="wikitable" style="height: 734px;" width="586"><br />
<br />
<tr><br />
<th style="width: 84.5076px;">Lecture</th><br />
<th style="width: 486.326px;">Description</th><br />
</tr><br />
<tr><br />
<td style="width: 84.5076px;">Week 1</td><br />
<td style="width: 486.326px;"><br />
<p class="MsoNormal" style="line-height: normal; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Introduction to the course</span></p><br />
<p> </p><br />
<p class="MsoNormal" style="line-height: normal; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Introduction to Python I (basic concepts)</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 84.5076px;"><span style="font-size: 14px;">Week </span>2</td><br />
<td style="width: 486.326px;"><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Tahoma, sans-serif;">Introduction to Python II (parsing &amp; using libraries)</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 84.5076px;"><span style="font-size: 14px;">Week </span>3</td><br />
<td style="width: 486.326px;"><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Tahoma, sans-serif;">Using Python to scrape the web I (regex &amp; other libraries)</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 84.5076px;"><span style="font-size: 14px;">Week </span>4</td><br />
<td style="width: 486.326px;"><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Tahoma, sans-serif;">Using Python to scrape the web II (data cleaning)</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 84.5076px;"><span style="font-size: 14px;">Week </span>5</td><br />
<td style="width: 486.326px;"><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Tahoma, sans-serif;">Text Mining with Python (nltk)</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 84.5076px;"><span style="font-size: 14px;">Week </span>6</td><br />
<td style="width: 486.326px;"><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Tahoma, sans-serif;">Midterm Project Presentations</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 84.5076px;"><span style="font-size: 14px;">Week </span>7</td><br />
<td style="width: 486.326px;"><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Tahoma, sans-serif;">Sentiment Analysis with Python</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 84.5076px;"><span style="font-size: 14px;">Week </span>8</td><br />
<td style="width: 486.326px;"><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Tahoma, sans-serif;">Social Network &amp; Graph Mining with Python (networkx)</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 84.5076px;"><span style="font-size: 14px;">Week </span>9</td><br />
<td style="width: 486.326px;"><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Tahoma, sans-serif;">Machine Learning &amp; Analytics with Python I (sklearn)</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 84.5076px;"><span style="font-size: 14px;">Week </span>10</td><br />
<td style="width: 486.326px;"><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Tahoma, sans-serif;">Machine Learning &amp; Analytics with Python II (sklearn)</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 84.5076px;"><span style="font-size: 14px;">Week </span>11</td><br />
<td style="width: 486.326px;"><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Tahoma, sans-serif;">Machine Learning &amp; Analytics with Python III (sklearn)</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 84.5076px;"><span style="font-size: 14px;">Week </span>12</td><br />
<td style="width: 486.326px;"><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Tahoma, sans-serif;">Visualization (matplotlib &amp; other tools)</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 84.5076px;"><span style="font-size: 14px;">Week </span>13</td><br />
<td style="width: 486.326px;"><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Tahoma, sans-serif;">Work on Final projects</span></p><br />
</td><br />
</tr><br />
<tr><br />
<td style="width: 84.5076px;"><span style="font-size: 14px;">Week </span>14</td><br />
<td style="width: 486.326px;"><br />
<p><span style="font-size: 10pt; line-height: 107%; font-family: Tahoma, sans-serif;">Final Project Presentations</span></p><br />
</td><br />
</tr><br />
<br />
</table><br />
<p> </p></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=BIA656_Statistical_Learning_and_Analytics&diff=4917
BIA656 Statistical Learning and Analytics
2018-02-15T20:02:22Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[German Creamer]]<br />
|Email = german.creamer@stevens.edu<br />
|Phone = (201) 216 8986<br />
|Office = Babbio 637<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/G_Creamer.jpg<br />
|Office_Hour = Tue. 9:30-11:00 AM<br />
<br />
|Classroom = <br />
<br />
|Classtime = <br />
Wed. 6:15-8:45 PM<br />
|Opening_Term = Fall On Campus, Spring On Campus<br />
<br />
|Course_Intro =<br />
<br />
The significant amount of corporate information available requires a systematic and analytical approach to select the most important information and anticipate major events. Statistical learning algorithms facilitate this process understanding, modeling and forecasting the behavior of major corporate variables.<br />
<br />
|Outcomes = <br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif;">Students will: <br /> • Learn the fundamental concepts of time series analysis and statistical learning algorithms.<br /> • Explore existent and new applications of time series and statistical learning methods to business problems, and to generic classification problems.</span></p><br />
<br />
|Description = <br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif; mso-fareast-font-family: 'Times New Roman';">This course introduces time series and statistical and graphical models used for inference and prediction. The emphasis of the course is in the learning capability of the algorithms and their application to several business areas.</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10.0pt; font-family: 'Tahoma',sans-serif; mso-fareast-font-family: 'Times New Roman';">Prerequisites: Basic course in probability and statistics at the level of MGT 620 or BIA 654 Multivariate data analytics.</span></p><br />
<p> </p><br />
<br />
|Textbook = <br />
<p><i><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Trevor Hastie, Robert Tibshirani and Jerome Friedman, The Elements of Statistical Learning</span></i><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">. Springer-Verlag, New York,. 2010 (downloadable at http://www-stat.stanford.edu/~tibs/ElemStatLearn/).</span></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><i><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Analysis of Financial Time Series, </span></i><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Ruey S. Tsay,<i> </i>3rd Ed, John Wiley, 2010. (2nd. Edition can be accessed through the library website. Only chapter 2) </span></p><br />
<p> </p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><i><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">Introduction to Information Retrieval</span></i><span style="font-size: 10pt; font-family: Tahoma, sans-serif;">, Christopher D. Manning, Prabhakar Raghavan and Hinrich Schutze,Cambridge University Press. 2008 (downloadable at http://nlp.stanford.edu/IR-book). </span></p><br />
<p> </p><br />
<br />
|Reading = <br />
<p><em><span style="font-size: 10.0pt; line-height: 107%; font-family: 'Tahoma',sans-serif; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">Pattern Recognition and Machine Learning</span></em><span style="font-size: 10.0pt; line-height: 107%; font-family: 'Tahoma',sans-serif; mso-fareast-font-family: Calibri; mso-fareast-theme-font: minor-latin; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;">, Christopher M. Bishop, Springer, 2006. <br /> <em>Pattern Classification</em>, R.O. Duda, P.E. Hart and D.G. Stork, John Wiley &amp; Sons, 2001.<br /> <em>Machine Learning, McGraw-Hill Series in Computer Science</em>,Tom M. Mitchell, 1997.<br /> <em>Seven methods for transforming corporate data into business intelligence. Upper Saddle River: Prentice Hall. 1997</em>. Vasant Dhar and Roger Stein.</span></p><br />
<p> </p><br />
<p><strong>Software</strong></p><br />
<p class="MsoNormal" style="mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; line-height: normal;"><span style="font-size: 10pt; font-family: Tahoma, sans-serif; background-image: initial; background-position: initial; background-size: initial; background-repeat: initial; background-attachment: initial; background-origin: initial; background-clip: initial;">R and Weka (http://www.cs.waikato.ac.nz/ml/weka) are the main software packages that will be used. No prior knowledge of Weka is required.</span></p><br />
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|GradingPolicy = <br />
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}}<br />
== Lecture Outline ==</div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE545_Design,_Patterns_and_Derivatives_Pricing&diff=4916
FE545 Design, Patterns and Derivatives Pricing
2018-02-15T20:01:52Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Xugong Li]]<br />
|Email = xli7@stevens.edu<br />
|Phone = <br />
|Office = <br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Xugong_Li.jpg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
BC 220<br />
|Classtime = <br />
F 06:15-08:45<br />
|Opening_Term = Fall On Campus, Fall Online<br />
<br />
|Course_Intro =<br />
<br />
<br />
|Outcomes = <br />
<br />
<br />
|Description = <br />
<p>This course covers the design patterns and implementation of financial models using object oriented programming (C++). It discusses advanced applications on quantitative finance with special emphasis on derivatives pricing and their calculations using commonly known formulas such as the Black-Scholes and lattice models. The course uses available simulation techniques such as Monte Carlo simulation and its implementations in financial engineering problems.</p><br />
<br />
|Textbook = <br />
<ul><br />
<li class="MsoNormal" style="margin-left: 27.0pt; mso-layout-grid-align: none; text-autospace: none;">C++ Design Patterns and Derivatives Pricing, Second edition<span style="font-size: 11.0pt; font-family: TimesNewRoman; mso-bidi-font-family: TimesNewRoman; color: black; mso-fareast-language: ZH-CN;">, Mark S. Joshi.</span><span style="line-height: 1.3em; font-size: 11pt; font-family: TimesNewRoman; color: black;">ISBN-10:</span><span style="line-height: 1.3em; font-size: 11pt; font-family: TimesNewRoman;">0521721628, ISBN-13: 978-0521721622</span></li><br />
</ul><br />
<br />
|Reading = <br />
<ul><br />
<li><span class="MsoHyperlink"><b><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;"><a href="http://www.cplusplus.com/doc/tutorial/">http://www.cplusplus.com/doc/tutorial/</a> </span></b></span><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;"> <b>C++ Language Tutorial</b></span></li><br />
<li><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;"><b><span style="font-size: 12pt;"><a href="http://www.oodesign.com/">http://www.oodesign.com/</a> Design Pattern</span></b></span></li><br />
<li><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;"><b><span style="font-size: 12pt;"><span style="font-size: 12pt;"><a href="http://sourcemaking.com/design_patterns">http://sourcemaking.com/design_patterns</a> Design Pattern</span></span></b></span></li><br />
<li><span style="font-size: 12.0pt; font-family: 'Times New Roman',serif; mso-fareast-font-family: 'Times New Roman'; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;"><b><span style="font-size: 12pt;"><span style="font-size: 12pt;"><span class="apple-style-span"><span style="font-size: 9.0pt; font-family: 'Verdana',sans-serif; mso-fareast-font-family: 'Times New Roman'; mso-bidi-font-family: 'Times New Roman'; color: black; mso-ansi-language: EN-US; mso-fareast-language: EN-US; mso-bidi-language: AR-SA;"><a href="http://www.markjoshi.com/design/index.htm" target="_new">http://www.markjoshi.com/design/index.htm</a> Homepage of C++ Patterns and Derivatives Pricing</span></span></span></span></b></span></li><br />
<li>C++ Primer, Fourth Edition, Stanley B. Lippman, Josée Lajoie, Barbara E. Moo ISBN-10: 0201721481, ISBN-13: 978-0201721485</li><br />
<li><span class="apple-style-span"><span style="color: #000000; font-family: Verdana, sans-serif;"><b><span style="font-size: 12px;">Thinking in C++, 2nd ed. Volume 1, 2000 by Bruce Eckel</span></b></span></span></li><br />
</ul><br />
<br />
|GradingPolicy = <br />
<br />
}}<br />
== Lecture Outline ==<br />
<table class="MsoNormalTable" style="width: 468.9pt; border-collapse: collapse; border: none; mso-border-alt: solid windowtext .5pt; mso-yfti-tbllook: 480; mso-padding-alt: 0in 5.4pt 0in 5.4pt; mso-border-insideh: .5pt solid windowtext; mso-border-insidev: .5pt solid windowtext;" border="1" width="625" cellspacing="0" cellpadding="0"><br />
<br />
<tr style="mso-yfti-irow: 0; mso-yfti-firstrow: yes; height: 12.75pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal"> </p><br />
</td><br />
<td style="width: 207.0pt; border: solid windowtext 1.0pt; border-left: none; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal"><b>Topic(s)</b></p><br />
</td><br />
<td style="width: 2.5in; border: solid windowtext 1.0pt; border-left: none; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 12.75pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal"><b>Reading(s)</b></p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 1; height: 29.65pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 29.65pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week 1</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 29.65pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">Class overview and</p><br />
<p class="MsoNormal">Basics of C++</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 29.65pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal"> C++ Language Tutorial</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 2; height: 26.5pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 26.5pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week2</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 26.5pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">C++ Control Structures</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 26.5pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal">C++ Language Tutorial</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 3; height: 26.5pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 26.5pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week3</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 26.5pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">C++ Compound Data Types</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 26.5pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal">C++ Language Tutorial</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 4; height: 34.6pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 34.6pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week4</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 34.6pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">C++ Object Oriented Programming</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 34.6pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal">C++ Language Tutorial</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 5; height: 31.9pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.9pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week5</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.9pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">C++ Containers and Algorithms</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.9pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal">C++ Language Tutorial</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 6; height: 31.0pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week 6</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">A simple Monte Carlo model.</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal"> Chapter 1</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 7; height: 31.0pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week 7</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">Encapsulation</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal"> Chapter 2</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 8; height: 31.0pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week 8</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">Inheritance and virtual functions.</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal"> Chapter 3</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 9; height: 31.0pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week 9</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">Bridging with a virtual constructor.</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal"> Chapter 4</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 10; height: 31.0pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week 10</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">Strategies, decoration and statistics.</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 31.0pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal"> Chapter 5</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 11; height: 36.4pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 36.4pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week 11</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 36.4pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">Random number generators.</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 36.4pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal"> Chapter 6</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 12; height: 39.1pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 39.1pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week 12</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 39.1pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">An option engine and the template pattern.</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 39.1pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal"> Chapter 7</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 13; height: 33.25pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 33.25pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week 13</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 33.25pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">Options Pricing using Black-Scholes.</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 33.25pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal"> Chapter 7</p><br />
</td><br />
</tr><br />
<tr style="mso-yfti-irow: 14; mso-yfti-lastrow: yes; height: 23.35pt;"><br />
<td style="width: 81.9pt; border: solid windowtext 1.0pt; border-top: none; mso-border-top-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 23.35pt;" valign="top" nowrap="nowrap" width="109"><br />
<p class="MsoNormal">Week 14</p><br />
</td><br />
<td style="width: 207.0pt; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 23.35pt;" valign="top" nowrap="nowrap" width="276"><br />
<p class="MsoNormal">Exceptions and Project Presentation</p><br />
</td><br />
<td style="width: 2.5in; border-top: none; border-left: none; border-bottom: solid windowtext 1.0pt; border-right: solid windowtext 1.0pt; mso-border-top-alt: solid windowtext .5pt; mso-border-left-alt: solid windowtext .5pt; mso-border-alt: solid windowtext .5pt; padding: 0in 5.4pt 0in 5.4pt; height: 23.35pt;" valign="top" nowrap="nowrap" width="240"><br />
<p class="MsoNormal"> Chapter 13</p><br />
</td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE550_Data_Visualization_Applications&diff=4915
FE550 Data Visualization Applications
2018-02-15T20:01:46Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Brian Moriarty]]<br />
|Email = brian.moriarty@stevens.edu<br />
|Phone = <br />
|Office = <br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/3e8426a.jpg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
Hanlon Lab<br />
|Classtime = <br />
W 06:15-08:45PM <br />
|Opening_Term = Fall On Campus, Fall Online, Spring On Campus, Spring Online<br />
<br />
|Course_Intro =<br />
Effective visualization of complex data allows for useful insights, more effective communication, and making decisions. This course investigates methods for visualizing financial datasets from a variety of perspectives in order to best identify the right tool for a given task. Students will use a number of tools to refine their data and create visualizations, including: R and associated visualization libraries, Ruby on Rails visualization tools, ManyEyes, HTML5 & CSS 3, D3.js and related javascript libraries, Google Chart Tools, Google Refine, and image-editing programs.<br />
<br />
|Outcomes = <br />
<ol><br />
<li>Develop knowledge of tools for visualizing datasets with emphasis on financial datasets.</li><br />
<li>Develop a programmatic understanding of translating data into useful visual forms</li><br />
<li>Develop a critical vocabulary to engage and discuss information visualization</li><br />
<li>Develop an understanding of data visualization theory.</li><br />
<li>Understanding of ethical considerations for data visualization</li><br />
</ol><br />
<br />
|Description = <br />
<p>Effective visualization of complex data allows for useful insights, more effective communication, and making decisions. This course investigates methods for visualizing financial datasets from a variety of perspectives in order to best identify the right tool for a given task. Students will use a number of tools to refine their data and create visualizations, including: Tableau 9.3/10 Beta, R and associated visualization libraries, HTML5 &amp; CSS 3, D3.js and related javascript libraries, Open Refine, basic Python scripting, and image-editing programs.</p><br />
<p> </p><br />
<p>Tools Used In This Course</p><br />
<p> </p><br />
<ul><br />
<li>Tableau Desktop 9.3/10 Beta</li><br />
<li>D3.js and related javascript libraries</li><br />
<li>R and R visualization and analysis packages</li><br />
<li>Additional tools and libraries as needed at student discretion</li><br />
</ul><br />
<br />
|Textbook = <br />
<ul><br />
<li>Milligan, Joshua N., <strong>Learning Tableau How Data Visualization Brings Business Intelligence to Life</strong>. Packt Publishing, 2015. ISBN: 9781784391164<br />
<ul><br />
<li>Create meaningful data visualizations and dashboards in Tableau</li><br />
<li>Analyze and display your data effectively using Tableau</li><br />
<li>Extend the value and functionality of your data with this step-by-step guide</li><br />
</ul><br />
</li><br />
<li>Maclean, Malcolm. <strong>D3 Tips and Tricks</strong>, Available online at: <a href="https://leanpub.com/D3TipsandTricks">https://leanpub.com/D3TipsandTricks</a></li><br />
<li><br />
<ul><br />
<li>Over 580 pages of tips and tricks for using d3.js, one of the leading data visualization tools for the web. It's aimed at helping you get started and move forward. Includes over 50 downloadable code examples. You can download for free or donate to encourage further development if you wish :).</li><br />
</ul><br />
</li><br />
<li>Tufte, Edward. The Visual Display of Quantitative Information. Cheshire, CT: Graphics Press, 2001. Print. ISBN: 9780961392147</li><br />
<li><br />
<ul><br />
<li>Available online here: <a href="http://www.colorado.edu/UCB/AcademicAffairs/ArtsSciences/geography/foote/maps/assign/r eading/TufteCoversheet.pdf">http://www.colorado.edu/UCB/AcademicAffairs/ArtsSciences/geography/foote/maps/assign/r eading/TufteCoversheet.pdf</a></li><br />
</ul><br />
</li><br />
</ul><br />
<br />
|Reading = <br />
<p>There are many solid texts available through Safari Books Online including, but certainly not limited to:</p><br />
<ul><br />
<li>Interactive Data Visualization for the Web, by Scott Murray; ISBN: 9781449339739</li><br />
<li>Data Visualization with d3.js, by Swizec Teller; ISBN: 9781782160007</li><br />
<li>Data Visualization: A Successful Design Process, by Andy Kirk; ISBN: 9781849693462</li><br />
</ul><br />
<p> </p><br />
<p>Some good resources include:</p><br />
<ul><br />
<li>Joshua Milligan’s site, <a href="http://vizpainter.com/">Viz Painter</a></li><br />
<li>Nathan Yau’s Flowing Data</li><br />
<li>Various Twitter feeds, including <a href="https://twitter.com/jeffrey_heer">Jeffrey Heer</a> , <a href="https://twitter.com/mbostock">Mike Bostock</a> ,<a href="https://twitter.com/OlaRosling"> Ola Rosling</a> , <a href="https://twitter.com/Duenes">Steve Duenes</a> , <a href="https://twitter.com/FakeStephenFew">Stephen Few</a> , <a href="https://twitter.com/mccandelish">David McCandless</a> , <a href="https://twitter.com/hfairfield">Hannah Fairfield</a> , <a href="https://twitter.com/ben_fry">Ben Fry</a> , <a href="https://twitter.com/krees">Kim Rees</a> and many others….</li><br />
<li>LinkedIn Groups: <a href="https://www.linkedin.com/groups/Visual-Analytics">Visual Analytics</a> ,<a href="https://www.linkedin.com/groups/Data-Mining-Statistics-Big-Data-152247"> Data Mining</a>, <a href="https://www.linkedin.com/groups/Data-Mining-Statistics-Big-Data-152247">Statistics</a>,<a href="https://www.linkedin.com/groups/Data-Mining-Statistics-Big-Data-152247"> Big Data</a>, and<a href="https://www.linkedin.com/groups/Data-Mining-Statistics-Big-Data-152247"> Data Visualization</a></li><br />
<li>Other Resources: <a href="http://bl.ocks.org/">bl.ocks.org</a> ,<a href="http://stackoverflow.com/questions/tagged/d3.js"> Stack Overflow</a> , <a href="https://groups.google.com/forum/?fromgroups#!forum/d3-js">Google Groups</a> , <a href="http://visual.ly/">Visual.ly</a> , <a href="http://flowingdata.com/">Flowing Data</a> , <a href="http://ilovecharts.tumblr.com/">ilovecharts </a>, <a href="http://www.visualizing.org/">Visualizing.org</a> , <a href="http://www.informationisbeautiful.net/">Information is Beautiful</a> , <a href="http://fivethirtyeight.com/">538 </a>, <a href="http://www.visualisingdata.com/index.php/resources/">Visualizing Data</a> ,<a href="http://www.visualisingdata.com/index.php/resources/"> Visual Complexity</a> ,<a href="http://www.numberpix.com/">Pictures of Numbers</a></li><br />
</ul><br />
<br />
|GradingPolicy = <br />
<p>Course grades are calculated precisely based on the following components:</p><br />
<p>1) Participation (Discussion, Peer Reviews, course engagement): 30%</p><br />
<p>2) Team Data Product Prototype : 20% (5% for each of two updates, 10% for final</p><br />
<p>submission)</p><br />
<p>3) Assignments: 20% (5% per assignment)</p><br />
<p>4) Individual Final Project (broken down by submission component): 30% (5% proposal,</p><br />
<p>5% prototype/functional model, 20% final submission)</p> <br />
}}<br />
== Lecture Outline ==<br />
<p>Week One, August 31, 2016: Course Introduction</p><br />
<p>Topics:</p><br />
<p>1) Course/Syllabus overview</p><br />
<p>2) Basic exercises using Tableau: Tableau Public/Connecting to Data</p><br />
<p>3) Course topics and tools: Tableau Desktop 9.3/10, D3.js (and related), Chrome Dev Tools,</p><br />
<p>HTML/CSS, additional data visualization tools, and data visualization history</p><br />
<p>4) Setting up a local web server</p><br />
<p>5) Text Editors</p><br />
<p>6) A brief history of data visualization</p><br />
<p> </p><br />
<p>Week Two, September 7, 2016: Introduction to Tableau</p><br />
<p>Topics:</p><br />
<p>1) Basic exercises using Tableau: UI Overview (Optional: Discrete and Continuous Data)</p><br />
<p>2) The Pros and Cons of Infographic data display</p><br />
<p>3) Bad examples of data visualization</p><br />
<p>4) Telling stories with data visualization</p><br />
<p>5) Project Team Assembly</p><br />
<p>6) Using RAW</p><br />
<p>7) Getting Data</p><br />
<p> </p><br />
<p>Week Three, September 14, 2016: (Very basic) Introduction to d3.js</p><br />
<p>Topics:</p><br />
<p>1) Basic exercises using Tableau: Basic Charts, Aggregation, Granularity, and Level of</p><br />
<p>Detail, Introduction on Joins</p><br />
<p>2) Presentation of homework assignments[1]</p><br />
<p>3) dimple.js</p><br />
<p>4) Using nvd3.js</p><br />
<p> </p><br />
<p>Week Four, September 21, 2016: HTML/CSS</p><br />
<p>Topics:</p><br />
<p>1) Basic exercises using Tableau: Dashboards and Stories, Formatting Basics, more about</p><br />
<p>joins</p><br />
<p>2) Usage of HTML and CSS for data visualization</p><br />
<p>3) Writing pseudocode</p><br />
<p>4) Data Product Team Proposal</p><br />
<p>5) Overview of temporal data visualization.</p><br />
<p> </p><br />
<p>Week Five, September 28, 2016: Chrome Developer Tools</p><br />
<p>Topics:</p><br />
<p>1) Basic exercises using Tableau: More with Dashboards and Stories, Calculated Fields</p><br />
<p>2) Getting the most out of Chrome Developer Tools</p><br />
<p> </p><br />
<p>Week Six, October 5, 2016: Working with Data</p><br />
<p>Topics:</p><br />
<p>1) Basic exercises using Tableau: Maps Intro</p><br />
<p>2) The 8020</p><br />
<p>Rule</p><br />
<p>3) Overview of network data visualizations .</p><br />
<p>4) Working with and Cleaning Data, using:</p><br />
<ul><br />
<li>a) Mr. Data Converter</li><br />
<li>b) Data Wrangler</li><br />
<li>c) Open Refine</li><br />
<li>d) Google Fusion Tables</li><br />
</ul><br />
<p> </p><br />
<p>Week Seven, October 12, 2016: Developing Your Own Ideas</p><br />
<p>Topics:</p><br />
<p>1) Advanced exercises using Tableau: Charts</p><br />
<p>2) Developing your idea using mind maps</p><br />
<p> </p><br />
<p>Week Eight, October 19, 2016: Design Considerations</p><br />
<p>Topics:</p><br />
<p>1) Advanced exercises using Tableau: Social Media</p><br />
<p>2) The 4x4 Model for Knowledge Content</p><br />
<p>3) Overview of map-based</p><br />
<p>data visualization .</p><br />
<p> </p><br />
<p>Week Nine, October 26, 2016: Journalism and Ethics</p><br />
<p>Topics:</p><br />
<p>1) Review of data visualization assignments.</p><br />
<p> </p><br />
<p>Week Ten, November 2, 2016: Other (Potentially Useful) Tools</p><br />
<p>Topics:</p><br />
<p>1) Plot.ly</p><br />
<p>2) Shiny</p><br />
<p>3) RaphaelJS</p><br />
<p>4) TimelineJS</p><br />
<p>5) QueueJS</p><br />
<p>6) Crossfilter</p><br />
<p> </p><br />
<p>Week Eleven, November 9, 2016: Final Project Proposal Submission</p><br />
<p>Topics:</p><br />
<p>Submission and review of individual final project proposals</p><br />
<p> </p><br />
<p>Week Twelve, November 16, 2016: “Advanced” Topics 1</p><br />
<p>Topics:</p><br />
<p>1) “Advanced” topics in Tableau</p><br />
<p> </p><br />
<p>Week Thirteen, November 30, 2016: Final Project Proposal Design Review</p><br />
<p>Topics:</p><br />
<p>Advanced Design Considerations</p><br />
<p> </p><br />
<p> </p></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE570_Market_Microstructure_and_Trading_Strategies&diff=4914
FE570 Market Microstructure and Trading Strategies
2018-02-15T20:01:42Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Anatoly Schmidt]]<br />
|Email = aschmid1@stevens.edu<br />
|Phone = <br />
|Office = <br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Alec120919a.JPG<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
Burchard Building 514<br />
|Classtime = <br />
T 06:15-08:45PM <br />
|Opening_Term = Fall On Campus, Fall Online, Spring On Campus, Spring Online<br />
<br />
|Course_Intro =<br />
This course offers an overview of modern financial markets for various securities (equities, FX, and fixed income), different types of traders, orders, and market structures, market microstructure models used for describing price formation in for the various markets including inventory models and information-based models and models of limit-order markets. It also introduces several typical trading strategies including trend, momentum, and oscillator-based strategies, arbitrage trading strategies, as well as the methods of deriving and back-testing these trading strategies. Students are required to learn the basics of R statistical computing language, and be able to analyze financial data using the models learned from this course.<br />
<br />
|Outcomes = <br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;">After taking this course, the student will be able to:</p><br />
<ul style="line-height: 1.5em; list-style-type: square; margin: 0.3em 0px 0px 1.6em; padding: 0px; list-style-image: url('data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAAUAAAANCAMAAABW4lS6AAAAGXRFWHRTb2Z0d2FyZQBBZG9iZSBJbWFnZVJlYWR5ccllPAAAAAZQTFRFAFKM////QIUK9QAAAAJ0Uk5T/wDltzBKAAAAGklEQVR42mJgBAEGokgGBjBGBxBxsBqAAAMACHwALd5r8ygAAAAASUVORK5CYII='); color: #000000; font-family: sans-serif; font-size: 12.8px;"><br />
<li style="margin-bottom: 0.1em;">Form a broad understanding of how various markets work and how securities are traded.</li><br />
<li style="margin-bottom: 0.1em;">Develop a firm understanding the mechanics of market microstructure and price discovery.</li><br />
<li style="margin-bottom: 0.1em;">Formulate and back-test various trading strategies.</li><br />
<li style="margin-bottom: 0.1em;">Be able to analyze market data and discover market patterns using R package.</li><br />
</ul><br />
<br />
|Description = <br />
<br />
<br />
|Textbook = <br />
<ol style="line-height: 1.5em; margin: 0.3em 0px 0px 3.2em; padding: 0px; list-style-image: none; color: #000000; font-family: sans-serif; font-size: 12.8px;"><br />
<li style="margin-bottom: 0.1em;">Financial Markets and Trading: An Introduction to Market Microstructure and Trading Strategies, By Anatoly B. Schmidt, John Wiley &amp; Sons, Inc.- ISBN - 978-0470924129</li><br />
<li style="margin-bottom: 0.1em;">Empirical Market Microstructure, By Joel Hasbrouck, Oxford University Press, ISBN - 978-0195301649</li><br />
</ol><br />
<br />
|Reading = <br />
<br />
<br />
|GradingPolicy = <br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">You will be given a dataset, and you will apply the methods which you have learned. If you do it right, this can be an immensely satisfying experience. You will turn in this project - I don't want the computer output, but descriptions of the results IN YOUR OWN WORDS - 3 single spaced pages, including plots, at most. We will talk more about this as the semester proceeds. You will each give a brief presentation on your project to the class, during the last week - Attendance is MANDATORY at the presentations – Dec 18 (tentatively)!!!</span></p><br />
<p> </p><br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">Attendance will be taken randomly (e.g., 6-7 times during the semester) and will determine "which direction" the resulting grade will “fall”, for those grades which are borderline (e.g., between B+ or A-).</span></p> <br />
}}<br />
== Lecture Outline ==<br />
<table class="wikitable" style="font-size: 12.8px; margin: 1em 1em 1em 0px; background-color: #f9f9f9; border: 1px solid #aaaaaa; border-collapse: collapse; color: #000000; font-family: sans-serif;"><br />
<br />
<tr><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">Week</th><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">Topic(s)</th><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">Reading(s)</th><br />
<th style="border: 1px solid #aaaaaa; padding: 0.2em; background-color: #f2f2f2; text-align: center;">HW</th><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">1</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Introduction to Financial Markets</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">2</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Modern Financial Markets and Trading Mechanism</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">J.Hasbrouch[1,2]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">HW1</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">3</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">The Roll Model of Trade Prices</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">J. Hasbrouck [3]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">4</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Univariate Time-Series Analysis I</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">J. Hasbrouck [4]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">5</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Univariate Time-Series Analysis II</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">J. Hasbrouck [4]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">HW2</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">6</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Inventory Models</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">A.Schmidt[3]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">7</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Market Microstructure: Information-based Models</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">A.Schmidt[4]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">8</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Empirical Market Microstructure</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">A.Schmidt[6]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">HW3</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">9</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Mid-term Exam</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">EXAM-I</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">10</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Technical Trading Strategies</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">A.Schmidt[10]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">11</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Arbitrage Trading Strategies</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">A.Schmidt[11]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">12</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Optimal Order Execution</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">A.Schmidt[13]</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">HW4</td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">13</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Implementing and Back-testing of Trading Strategies I</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">A.Schmidt [12]&amp;Others</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">14</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Implementing and Back-testing of Trading Strategies II</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">A.Schmidt [12]&amp;Others</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">15</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Implementing and Back-testing of Trading Strategies III</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">A.Schmidt [12]&amp;Others</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
</tr><br />
<tr><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">16</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">Final Exam</td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;"> </td><br />
<td style="border: 1px solid #aaaaaa; padding: 0.2em;">EXAM-II<br /><br /></td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE575_Introduction_to_Econophysics&diff=4913
FE575 Introduction to Econophysics
2018-02-15T20:01:37Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Rupak Chatterjee]]<br />
|Email = Rupak.Chatterjee@stevens.edu<br />
|Phone = (201) 216 3393<br />
|Office = Babbio 545<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Rupak_Chatterjee.jpg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
<br />
|Classtime = <br />
<br />
|Opening_Term = Fall On Campus<br />
<br />
|Course_Intro =<br />
Financial engineers or quantitative analysts of today are facing many challenges related to being self-critical and going outside of common-core quantitative finance subjects such as portfolio theory, rational option pricing. Issues related to limits of classical finance, which normally surface at short-term price changes (less than a day), specifically in the most liquidly traded financial instruments, and are normally scarcely covered in financial engineering programs.<br />
<br />
|Outcomes = <br />
<p>For an arbitrary real-life financial price series, students will be able to:</p><br />
<p>1) Develop and apply certain statistical tests that will rationally compare the properties against those of a Random Walk;</p><br />
<p>2) Students will know the basic analytical and statistical tools that can be used for statistical price description;</p><br />
<p>3) Determine possible price anomalies that may be present in it, such as: fat tails of price-change distribution function; presence of short- and/or long-correlations in price changes or their functions, such as short-term volatility;</p><br />
<p>4) Based on those price anomalies develop basic trading strategies exploiting them;</p><br />
<p>5) Develop a set of robust (with minimized over-fitting) techniques to parameterize the trading strategies.</p><br />
<br />
|Description = <br />
<p>The course will apply certain concepts from statistical physics to the description of real-life financial time series. It will introduce the notion of Random Walk from the physicist stand-point and propose various statistical tests as comparisons of real-life financial time series properties with those of a Random Walk.</p><br />
<p>The course will introduce statistical description of financial data with emphasis on long-memory correlation functions. The course will introduce Levy stochastic processes and their analytical properties and use them to parameterize the real-life financial time series probability density functions. Through homework’s and final project, the course will stress phenomenological hands-on work with financial data.</p><br />
<p>The course will culminate with the final project in which students will learn to extract the learned price anomalies through development of basic trading strategies. The dangers of over fitting of financial data will be studied through walk-forward out-of- sample trading simulations, which will teach student to become more prudent practical quantitative analysis.</p><br />
<br />
|Textbook = <br />
<p>Introduction to Econophysics: Correlations and Complexity in Finance. By R.N. Mantegna, H.E.</p><br />
<p>Stanley. ISBN-10: 0521039878.</p><br />
<br />
|Reading = <br />
<br />
<br />
|GradingPolicy = <br />
<p>HW 60% Final Project 40%</p> <br />
}}<br />
== Lecture Outline ==<br />
<table style="height: 529px;" border="1" width="600"><br />
<br />
<tr style="height: 66px;"><br />
<td style="width: 161px; height: 66px;"> </td><br />
<td style="width: 161px; height: 66px;">Topic(s)</td><br />
<td style="width: 162px; height: 66px;">HW</td><br />
</tr><br />
<tr style="height: 66px;"><br />
<td style="width: 161px; height: 66px;"><br />
<p>Week 1</p><br />
</td><br />
<td style="width: 161px; height: 66px;">Car Counting. Position sizing. Fixed-fraction betting. Kelly optimal betting. The combined strategy. St. Petersburg Paradox. Can markets be beaten?</td><br />
<td style="width: 162px; height: 66px;">Hw 1</td><br />
</tr><br />
<tr style="height: 44px;"><br />
<td style="width: 161px; height: 44px;">Week 2</td><br />
<td style="width: 161px; height: 44px;">Working financial data. Futures markets: exchanges, expirations (maturities). Conventions. Back-adjustment techniques.</td><br />
<td style="width: 162px; height: 44px;">Hw 2</td><br />
</tr><br />
<tr style="height: 44px;"><br />
<td style="width: 161px; height: 44px;">Week 3</td><br />
<td style="width: 161px; height: 44px;">Elementary notions of statistics, or particularly, of "statistical fluid mechanics" or of "statistical turbulence" theory. Probability Density Function. Mean. Stationary process.</td><br />
<td style="width: 162px; height: 44px;"> </td><br />
</tr><br />
<tr style="height: 44px;"><br />
<td style="width: 161px; height: 44px;">Week 4</td><br />
<td style="width: 161px; height: 44px;">Langevin equation. Continuous random walk. Log-Brownian motion. Mean-reversion model (Ornstein-Uhlenbeck process). Computer simulations of both for various values of parameters</td><br />
<td style="width: 162px; height: 44px;">Hw 3</td><br />
</tr><br />
<tr style="height: 44px;"><br />
<td style="width: 161px; height: 44px;">Week 5</td><br />
<td style="width: 161px; height: 44px;">Long memory Effects. Second deviation from Random Walk: Counting continuations of reversals: evidence of mean-reversion. Physical meaning of auto-correlation. Memory in stochastic processes:short-range memory vs. long-range memory.</td><br />
<td style="width: 162px; height: 44px;"> </td><br />
</tr><br />
<tr style="height: 44px;"><br />
<td style="width: 161px; height: 44px;"> Week 6</td><br />
<td style="width: 161px; height: 44px;">Response functions</td><br />
<td style="width: 162px; height: 44px;">Hw 4</td><br />
</tr><br />
<tr style="height: 44px;"><br />
<td style="width: 161px; height: 44px;">Week 7</td><br />
<td style="width: 161px; height: 44px;">Levy distribution. Definitions of Symmetric and Asymmetric Levy distribution functions.</td><br />
<td style="width: 162px; height: 44px;"> </td><br />
</tr><br />
<tr style="height: 45px;"><br />
<td style="width: 161px; height: 45px;">Week 8</td><br />
<td style="width: 161px; height: 45px;">Analogies between the high-frequency finance and the physics of fluid turbulence</td><br />
<td style="width: 162px; height: 45px;">Hw 5</td><br />
</tr><br />
<tr style="height: 45px;"><br />
<td style="width: 161px; height: 45px;">Week 9</td><br />
<td style="width: 161px; height: 45px;">Limit order book (LOB)</td><br />
<td style="width: 162px; height: 45px;"> </td><br />
</tr><br />
<tr style="height: 45px;"><br />
<td style="width: 161px; height: 45px;">Week 10</td><br />
<td style="width: 161px; height: 45px;">Sector-by-sector analysis of stock push response diagrams and variance ratio tests.</td><br />
<td style="width: 162px; height: 45px;">Hw 6</td><br />
</tr><br />
<tr style="height: 45px;"><br />
<td style="width: 161px; height: 45px;">Week 11</td><br />
<td style="width: 161px; height: 45px;">Buying Winners and Selling Losers: Investigation of Momentum</td><br />
<td style="width: 162px; height: 45px;"> </td><br />
</tr><br />
<tr style="height: 45px;"><br />
<td style="width: 161px; height: 45px;">Week 12</td><br />
<td style="width: 161px; height: 45px;">Elements of trading system design</td><br />
<td style="width: 162px; height: 45px;">Hw 8</td><br />
</tr><br />
<tr style="height: 45px;"><br />
<td style="width: 161px; height: 45px;">Week 13</td><br />
<td style="width: 161px; height: 45px;">The notion of drawdown</td><br />
<td style="width: 162px; height: 45px;"> </td><br />
</tr><br />
<tr style="height: 45px;"><br />
<td style="width: 161px; height: 45px;">Week 14</td><br />
<td style="width: 161px; height: 45px;">Final Presentations</td><br />
<td style="width: 162px; height: 45px;">Final Project</td><br />
</tr><br />
<br />
</table></div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE580_Securitization_of_Financial_Assets&diff=4912
FE580 Securitization of Financial Assets
2018-02-15T20:01:32Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
<br />
<br />
|Classroom = <br />
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|Classtime = <br />
<br />
|Opening_Term = <br />
<br />
|Course_Intro =<br />
<br />
<br />
|Outcomes = <br />
<br />
<br />
|Description = <br />
<br />
<br />
|Textbook = <br />
<br />
<br />
|Reading = <br />
<br />
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|GradingPolicy = <br />
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}}<br />
== Lecture Outline ==</div>
Wikieditor
https://web.stevens.edu/hfslwiki/index.php?title=FE582_Foundations_of_Financial_Data_Science&diff=4911
FE582 Foundations of Financial Data Science
2018-02-15T20:01:28Z
<p>Wikieditor: </p>
<hr />
<div>{{Template:Course_Temp<br />
<br />
|Name = [[Dragos Bozdog]]<br />
|Email = dbozdog@stevens.edu<br />
|Phone = (201) 216 3527<br />
|Office = Babbio 429A<br />
|Photo_file = https://kolmogorov.fsc.stevens.edu/cms/images/stories/crop/Dragos_Bozdog.jpg<br />
|Office_Hour = <br />
<br />
|Classroom = <br />
Babbio Center: Hanlon Financial Systems Lab<br />
|Classtime = <br />
T 06:00-07:50PM <br />
|Opening_Term = Fall On Campus, Fall Online, Spring On Campus, Spring Online<br />
<br />
|Course_Intro =<br />
This course will provide an overview of issues and trends in data quality, data storage, data scrubbing, and data flows. Topics will include data abstractions and integration, enterprise level data issues, data management issues with collection, warehousing, preprocessing and querying, similarity and distances, clustering methods, classification methods, text mining, and time series. Case studies will be presented in support of the theoretical concepts. Furthermore, the Hadoop-based programming framework for big data issues will be introduced along with any governance and policy issues. These concepts will be applied to areas such as digital marketing and computational advertising, energy and healthcare analytics, social media and social networks, and capital markets financial data. A one credit Hanlon lab course, FE-513: Practical Aspects of Database Design is co-requisite to this course in order to facilitate learning of the practical side of data management.<br />
<br />
|Outcomes = <br />
<p>After taking this course, the students will be able to:</p><br />
<ol><br />
<li>Have a working knowledge of the issues of data quality, data storage, data scrubbing, data flows, and data encryption and their potential solutions.</li><br />
<li>Understand and design various schemas needed for the representation of financial data.</li><br />
<li>Tackle problems dealing with data management issues such as collection, warehousing, preprocessing and querying.</li><br />
<li>Will get a primer on database management as well as advantages and disadvantages from the attached lab course FE 513.</li><br />
<li>Understand how to write applications using the map-reduce feature of Hadoop clusters.</li><br />
<li>Have a working understanding of all the databases available for them through the Hanlon lab.</li><br />
<li>Apply the newly acquired data management and database skills to financial data from the capital markets, social media, and the financial services sector.</li><br />
</ol><br />
<br />
|Description = <br />
<p>This course is the first course for the certificate in Financial Services Analytics. Financial services analytics is the science and technology of creating data-driven decision-making analytics for the financial services industry. This can lead to more effective business operations, enhanced customer services and product offerings, and improved risk analysis and risk management. This course is the key building block in this certificate as good data and the understanding of data is critical to the creation of robust financial services analytics. The financial services analytics certificate has four key areas making up its knowledge base:</p><br />
<ul><br />
<li>Foundations of Financial Data Science (FE-582)</li><br />
<li>Introduction to Knowledge Engineering (FE-590)</li><br />
<li>Financial Systems Technology (FE-595)</li><br />
<li>Data Visualization Applications (FE-550)</li><br />
</ul><br />
<p> </p><br />
<p style="margin: 0.4em 0px 0.5em; line-height: 1.5em; font-size: 14px; color: #000000; font-family: sans-serif;"> </p><br />
<p>Co-Requisite: FE 513 – Practical Aspects of Database Design</p><br />
<br />
|Textbook = <br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">No single textbook covers all the topics. Several references will be used and supplementary notes will be provided whenever appropriate.</span></p><br />
<br />
|Reading = <br />
<ol><br />
<li>Charu C. Aggarwal, <em>Data Classification: Algorithms and Applications.</em> CRC Press, 2015. (ISBN: 978-1-4665-8674-1)</li><br />
<li>Charu C. Aggarwal, <em>Data Mining</em>. Springer, 2015. (ISBN: 978-3-319-14141-8)</li><br />
<li>Deborah Nolan and Duncan T. Lang, Data Science in R: <em>A Case Studies Approach to Computational Reasoning and Problem Solving</em>, CRC Press, 2015. (ISBN: 978-1-4822-3481-7)</li><br />
<li>Norman Matloff, <em>The Art of R Programming</em>, No Starch Press, 2011. (ISBN: 978-1-59327-384-2)</li><br />
<li>Cathy O’Neil and Rachel Schutt, <em>Data Science</em>, O’Reilly, 2014. (ISBN: 978-1-449-35865-5)</li><br />
</ol><br />
<br />
|GradingPolicy = <br />
<p><span style="color: #000000; font-family: sans-serif; font-size: 14px;">HW 50% </span><br style="color: #000000; font-family: sans-serif; font-size: 14px;" /><span style="color: #000000; font-family: sans-serif; font-size: 14px;">Final Assignment 50%</span></p> <br />
}}<br />
== Lecture Outline ==<br />
<table><br />
<br />
<tr><br />
<td> </td><br />
<td>Topic</td><br />
</tr><br />
<tr><br />
<td>Week 1</td><br />
<td><br />
<p>Introduction to Financial Data Science. Data Science Process. Sample Data Processing. The Basic Data Types. The Major Building Blocks: A Bird’s Eye View.</p><br />
<p>Introduction to R.</p><br />
<p>Case Study: Exploratory Data Analysis (NYC Real Estate)</p><br />
</td><br />
</tr><br />
<tr><br />
<td>Week 2</td><br />
<td><br />
<p>Linear Algebra Review.</p><br />
<p>Financial Data Quality Issues and Data Scrubbing. Data Preparation. Feature Extraction and Portability. Data Cleaning. Data Reduction and Transformation. Handling Missing Entries. Handling Incorrect and Inconsistent Entries. Scaling and Normalization. Data Reduction and Transformation. Sampling for Static Data and Data Streams. Dimensionality Reduction Intro.</p><br />
</td><br />
</tr><br />
<tr><br />
<td>Week 3</td><br />
<td>Case Study: Data and Web Technologies (Web page retrieval, scrapping, regular expression extraction, basic statistical techniques to identify wrong data entries. Linear Model. Piecewise linear model.)</td><br />
</tr><br />
<tr><br />
<td>Week 4</td><br />
<td>Similarity and Distances. Impact of High Dimensionality. Lp-norm. Generalized Minkovski Distance. Contrast. Impact of Locally Irrelevant Features. Impact of Different Lp-Norms. Match-Based Similarity Computation. Impact of Data Distribution. ISOMAP. Impact of Local Data Distribution. Similarity on Categorical Data. Similarity on Mixed Quantitative and Categorical Data. Text Similarity Measures. Time Series Similarity Measures.</td><br />
</tr><br />
<tr><br />
<td>Week 5</td><br />
<td>Clustering Methods. K-Means Clustering. Hierarchical Clustering. Case Study: Clustering (NYC Real Estate). Financial Data Simulation.</td><br />
</tr><br />
<tr><br />
<td>Week 6</td><br />
<td>Classification Methods. Logistic Regression. Linear Discriminant Analysis. Quadratic Discriminant Analysis, K-NN.</td><br />
</tr><br />
<tr><br />
<td>Week 7</td><br />
<td>No Class. Monday Class Schedule.</td><br />
</tr><br />
<tr><br />
<td>Week 8</td><br />
<td>Mining Text Data. Specific Characteristics. Document Preparation and Similarity Computation. Specialized Clustering Methods for Text. Probabilistic Algorithms. Co-Clustering. Topic Modeling. Specialized Classification Methods for Text. Case Study: MangoDB Application</td><br />
</tr><br />
<tr><br />
<td>Week 9</td><br />
<td>Case Study: Using Statistics to Identify Spam</td><br />
</tr><br />
<tr><br />
<td>Week 10</td><br />
<td>Tree-Based Methods. Regression Trees. Tree Pruning. Case Study: TBD</td><br />
</tr><br />
<tr><br />
<td>Week 11</td><br />
<td>Financial Time Series. Using Decision Tree to Trade Stock. Building a Trading Strategy. Handling Time-Dependent Data in R. The Prediction Models.</td><br />
</tr><br />
<tr><br />
<td>Week 12</td><br />
<td>Hadoop. HDFS. MapReduce. Hive. Pig.</td><br />
</tr><br />
<tr><br />
<td>Week 13</td><br />
<td>Case Study: Hadoop</td><br />
</tr><br />
<tr><br />
<td>Week 14</td><br />
<td>Final Project Presentations</td><br />
</tr><br />
<br />
</table></div>
Wikieditor