Statement of Course Outcomes

Course Number: CS 535

Course Name: Financial Computing

Course Coordinator: George Kamberov

Graduate or Undergraduate Equivalent:

Catalog Description: This is a course in modeling the values of assets and financial derivatives and the software implementation of these models for pricing, simulations, and scenario analysis. The course includes an introduction to markets and financial derivatives, and a development of the necessary tools from the theories of stochastic processes and parabolic differential equations. An integral part of the course is the use of financial information sources and software packages available on the Internet for modeling and analysis. Prerequisites: Acquaintance with Multivariable Calculus and programming in C++ and/or Java.

Course Outcomes

After completing this course the student swill be able to:

1. Explain what are financial derivatives and describe the main types of derivatives and derivatives markets [core: science, math-stat]
2. Explain arbitrage and arbitrage based strategies and pricing [core: science, math-stat]
3. Use arbitrage and stochastic calculus to price derivatives and scan positions [core: science, math-stat]
4. Implement software tools to price derivatives, support hedging strategies, scan positions[core:requirements, math-stat, software]