Graduate Course Descriptions

The following directory lists the graduate courses which the University expects to offer, although the University in no way guarantees that all such courses will be offered in any given academic year, and reserves the right to alter the list if conditions warrant. Click on the links below for a list of courses in that subject area. You may then click “View Classes” to see scheduled classes for individual courses.

5352. Financial Programming and Modeling

3.00 credits

Prerequisites: None.

Grading Basis: Graded

The use of MATLAB, R, and SAS for financial programming and modeling. Students pick up materials such as programming basics, SQL, database operations, file operations, graphical user interface design, object-oriented programming, XML, Component Object Model (COM) client and server, and application programming interface (API). Fundamental concepts are reviewed. Students learn modeling techniques such as Monte-Carlo simulation, binomial and trinomial trees, Black-Scholes, finite difference methods, constrained and unconstrained optimization, linear and non-linear programming, heuristic optimization, mean-variance, Value at Risk, data envelopment analysis (DEA), and data mining techniques applied in risk management, and apply these in financial contexts. Construction of various applications, for example portfolio optimization with live data from the internet using various methods, option pricing using Monte-Carlo, binomial trees, Black-Scholes, asset pricing models, capital budgeting, efficiency evaluation, finding betas of stocks, risk evaluation using data mining techniques, etc., across several programming languages.

Last Refreshed: 07-DEC-21 AM
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Term Class Number Campus Instruction Mode Instructor Section Session Schedule Enrollment Location Credits Grading Basis Notes
Spring 2022 12759 Stamford In Person Hayes, Ed
McDonald, Matthew
MM11 Reg Tu 7:00pm‑10:00pm
19/40 3.00 Graded