FE518 Mathematica for Finance

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Course Catalog Description

Introduction

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.
Campus Fall Spring Summer
On Campus X X
Web Campus

Instructors

Professor Email Office
Dragos Bozdog
dbozdog@stevens.edu Babbio 429A



More Information

Course Description

Main topics include:

  • Mathematica Language: Lists, Patterns and Rules, Functional and Procedural Programming, Graphics and Visualization, Dynamic Expressions and Optimizing Mathematica Programs
  • Mathematica Finance Applications: Cash Account Evolution, Stock Price Evolution European Style Options, Stock Market Statistics, Implied Volatility for European Options, American Style Stock Options, Optimal Portfolio Rules, Advanced Trading Strategies



Course Resources

Textbook

  • Stojanovic, S., Computational financial mathematics using MATHEMATICA: optimal trading in stocks and options, Boston: Birkhäuser, 2003. (ISBN: 978‐0‐8176‐4197‐9)

Additional References

  • Wellin, P.  Programming with Mathematica®: An Introduction, 4th Revised edition, Cambridge University Press, 2013.  (ISBN: 978‐1107009462)



Grading

Grading Policies

 

  • Assignments – 40%
  • Class work – 20% 
  • Final Exam – 40%


Lecture Outline

Topic Reading
Week 1 Introduction to Financial Engineering Ch. 1 and 2
Week 2 Capital Markets Overview Ch. 3
Week 3 Corporate Finance & Valuation Ch. 3
Week 4 Equity Analysis Ch. 4
Week 5 Fixed Income Debt Securities Ch. 4
Week 6 Overview of Bonds Sectors & Instruments Ch. 4
Week 7 Valuation of Debt Securities Ch. 4
Week 8 Securitized Products
Week 9 Leveraged Loans & CLO's Ch. 5
Week 10 General Principles of Credit Analysis Ch. 5
Week 11 Foreign Exchange Ch. 6
Week 12 Poisson Processes and Jump Diffusion Ch. 11
Week 13 Exotic Options Ch. 7
Week 14 Review & Catch-up