hfsl_course

FE518 Mathematica for Finance
Financial Engineering (Lab)
The course provides an introduction to programming, graphics, and financial data analysis using Mathematica. The students will learn programming in Mathematica Software, starting with elementary concepts, but quickly moving forward to advanced programming. The content is designed as an integrated quantitative methodology for analysis of markets, and optimal trading in stocks and options. The course is based on “hands‐on” projects dealing with contemporary topics in financial mathematics and it complements theoretical courses of finance.

Main topics include:

  • Mathematica Language: Lists, Patterns and Rules, Functional and Procedural Programming, Graphics and Visualization, Dynamic Expressions and Optimizing Mathematica Programs
  • Mathematica Finance Applications: Cash Account Evolution, Stock Price Evolution European Style Options, Stock Market Statistics, Implied Volatility for European Options, American Style Stock Options, Optimal Portfolio Rules, Advanced Trading Strategies
  • Stojanovic, S., Computational financial mathematics using MATHEMATICA: optimal trading in stocks and options, Boston: Birkhäuser, 2003. (ISBN: 978‐0‐8176‐4197‐9)
  • Wellin, P.  Programming with Mathematica®: An Introduction, 4th Revised edition, Cambridge University Press, 2013.  (ISBN: 978‐1107009462)

 

  • Assignments – 40%
  • Class work – 20% 
  • Final Exam – 40%
Week 1 Introduction to Mathematica Lecture Notes
Week 2 The Mathematica Language Lecture Notes
Week 3 Lists, Patterns and Rules Ch. 1
Week 4 Functional and Procedural Programming Ch. 2
Week 5 Graphics and Visualization Ch. 3
Week 6 Dynamic Expressions and Optimizing Mathematica Programs Lecture Notes
Week 7 Cash Account Evolution, Stock Price Evolution Ch. 4
Week 8 European Style Options Ch. 5
Week 9 Stock Market Statistics Ch. 6
Week 10 Implied Volatility for European Options Ch. 7
Week 11 American Style Stock Options Ch. 8
Week 12 Optimal Portfolio Rules Ch. 9
Week 13 Advanced Trading Strategies Lecture Notes