During the course we are going to have many programming exercises and large portion of the grade will be based on these exercises. We will use Java as our programming language (sorry no substations). As such working knowledge of Java in general and JDK 1.5 in particular is essential. If you are not familiar with Java and you still want to join the course, you must study Java before the class begin.
Finance and computational Finance, in particular, is a multi-desciplinary in nature. For example, creating a re-usable simulation framework requires, understanding of statistics, good OO design skills, and the financial model underling the instruments behavior. As such, we will need to study all these concepts simultaneously, and try to combine them together creating a useful frameworks.
I will publish a tentative detailed schedule in the next couple of days, so please check in.
Instructor: Eran Fishler.
email: fishler at cs dot nyu dot edu
Office Hours: Wedensday 18:00-19:00, room 328 WWH
TA: To be announced.