AMS 515, Case Studies in Computational Finance
Actual applications of Quantitative Finance to problems of risk assessment, product design, portfolio management, and securities pricing will be covered. Particular attention will be paid to data collection and analysis, the design and implementation of software, and, most importantly, to differences that occur between theory and practice in model application, and to the development of practical strategies for handling cases in which model failure makes the naive use of quantitative techniques dangerous. Extensive use of guest lecturers drawn from the industry will be made.
Prerequisite: AMS 512 and 513
3 credits, ABCF grading

Text: Quantitative Risk Management: Concepts, Techniques And Tools; fifth Edition; Authors: Alexander J. Mcneil, Paul Embrechts, Rudiger Frey;
ISBN-13: 9780691122557
Publisher: Princeton Univ Pr 538 pages

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