Financial Engineering

MSDS 451-DL Financial Engineering.

This course introduces quantitative finance and methods for assessing the value of financial instruments. Students learn about asset price dynamics, volatility, and prediction. They develop stochastic models for the movement of asset prices over time, and they use numerical analysis to estimate payoffs and present values of underlying assets and options. The course focuses on active portfolio management, evaluating portfolio risks, returns, and market performance. It provides a comprehensive review of asset classes, including stocks, bonds, derivatives, commodities, currencies, indices, and exchange-traded funds. A term project involves developing an algorithmic trading program for an actively managed fund. This case study course requires active participation in class discussions. Prerequisites: MSDS 400-DL Math for Modelers and MSDS 401-DL Applied Statistics with R.

Python is the primary language in this course. Students benefit by taking the Python Learning Studio and MSDS 430 Python for Data Science prior to taking this course.

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