FE520 Introduction to Python for Financial Applications
Financial Engineering (Lab)
  • Fall On Campus
  • Spring On Campus
Python is growing programming language in today's financial applications. Primarily, this is due to its nature (open source), as well as its accessibility (easier to learn than C++). The students
completing this course will gain this very important programming skill.

This course is a primer on Python (language syntax, data structures, basic data processing,

Python functions, modules and classes). The remainder of the course covers open source Python

tools relevant to solving financial programming problems. The lecture, supporting examples, and

practical applications are intertwined. The content will be delivered in a fully equipped financial

computing laboratory where the students are immersed in case studies of real life applications.

There will be reading assignments of the corresponding chapters in the textbook and additional

materials will be provided.

After taking this course, the students will be able to:

1. Get a fundamental knowledge of Python

2. Learn about interfacing with C++

3. Applying and implementing financial models in Python

4. Develop analytics on financial data using Python

Fletcher, S. and Gardner, C., Financial Modelling in Python, Wiley,

2009. (ISBN: 978-0- 470-98784- 1)

HW 30% Mid-term 20% Final 20% Projects 30%

  Topic(s) Reading Class exercises (Optional)


Week 1 The Python Language Ch. 1 in textbook    
Week 2 The Python Library Ch. 1 in textbook Class Exercise  
Week 3 The PPF Package Ch. 2 in textbook   HW1 Due
Week 4 Extending Python from C++ Ch. 3 in textbook Class Exercise  
Week 5 Basic Mathematical Tools Ch. 4 in textbook    
Week 6 Market: Curves and Surfaces Ch. 5 in textbook Class Exercise HW2 Due
Week 7 Data Model Ch. 6 in textbook    
Week 8  Timline: Events and Controller Ch. 7 in textbook   Midterm
Week 9 The Hull-White Model Ch. 8 in textbook Class Exercise  
Week 10  Pricing using Numerical Methods Ch. 9 in textbook    
Week 11 Pricing Financial Structures in Hull-White Ch. 10 in textbook Class Exercise HW3 Due
Week 12 Hybrid Python/C++ Pricing Systems Ch. 11 in textbook    
Week 13 Python Excel Integration Ch. 12 in textbook Class Exercise Project Report Due
Week 14  Project presentation     Final