Paul Wythes ’55 Professor of Engineering and Finance
ORF 505 / FIN 505: Statistical Analysis of Financial Data in R
Divided into three parts of approximately the same lengths.
ORF 542: BSDEs, Stochastic Control & Stochastic Games
Review of (forward) stochastic differential equations; Introduction to Backward Stochastic Differential Equations (BSDE) and Forward/Backward Stochastic Differential Equations (FBSDEs); Stochastic Control: Dynamic Programming, Hamilton-Jacobi-Bellman equations and connection with BSDEs; Stochastic Maximum Principle and the Probabilistic Approach to Stochastic Control; Stochastic differential games, Nash equilibriums, Isaacs conditions, BSDEs and FBSDEs; Applications: LQ models, Predatory trading game. Mean Field Games and Control of McKean-Vlasov dynamics; Applications: systemic risk, macro-economic growth models, flocking, schooling and crowd behavior
ORF 531 / FIN 531: Computational Finance in C
Introduction to object oriented programming and C. Introduction of the technical and algorithmic aspects of a wide spectrum of computer applications currently used in the financial industry, and C implementations of these concepts. All bi-weekly homework assignments involves C code, and the final project comprises the development of a financial application in C.
ORF 457: Energy and Commodity Markets (Spring 2014)