Professor Daniel Bienstock first joined Columbia University's Industrial Engineering and Operations Research Department in 1989. He received his PhD in Operations Research from MIT. His research focuses on optimization and high-performance computing. A second...
IEORE4500 Applications Programming for Financial Engineering
Instructor: Daniel Bienstock
3 pts. Lect: 3. Computer programming or instructor's approval. This course is required for undergraduate students majoring in OR:FE. In this course we will take a hands-on approach to developing computer applications for Financial Engineering. Special focus will be placed on high-performance numerical applications that interact with a graphical interface. In the course of developing such applications we will learn how to create DLLs, how to integrate VBA with C/C++ programs, and how to write multithreaded programs. Examples of problems settings that we will consider include: simulation of stock price evolution, tracking, evaluation and optimization of a stock portfolio; optimal trade execution. In the course of developing these applications we will review topics of interest to OR/FE in a holistic fashion.