Data Analysis and Simulation for Financial Engineers

Catalog description

This "capstone" course for financial engineering majors brings to life their sophisticated mathematical background (in probability, stochastic processes, statistics, and financial mathematics) by connecting it to hands-on analysis of data and simulation techniques needed for real world financial engineering applications. Course topics include time series analysis, Markov Chain Monte Carlo methods, hidden Markov models, portfolio risk management. MTH 4600 can be used as an elective within the math minor, as a required course within the proposed financial engineering major, or as a general elective for the BA, BBA, or BS degrees.Prerequisite: MTH 4125, MTH 4130, MTH 4500.