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.

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