CSE 40317/60317 Online Algorithms for
Computational Finance
Spring 2007
(© Cartoon Features Syndicate)
- Description: Decision making under incomplete information,
particularly under uncertainty about the future, is a common
activity in finance. A traditional approach to this is to model the
uncertainty using probability distributions and then optimize for
the average-case performance of a utility function. In this course,
we study a non-traditional approach in which we disregard
probability models and optimize the worst-case performance. This
"computer science-based" approach is preferred because of the
inherent unpredictability of financial markets.
- Syllabus.
- Class hours: Currently, MWF 10:40-11:30 am, in DeBartolo
334. We may chose a more convenient time in class.
- Instructor: Amitabh
Chaudhary. Room: Fitzpatrick 352. Email: achaudha at cse nd edu.
Office hours: MWF 1:00-2:00 pm or by appointment.
- Textbooks: For reference, not required: (1) Online Computation and
Competitive Analysis by Allan Borodin and Ran El-Yaniv, Cambridge
University Press; (2) Options, Futures, and Other Derivatives by
John C. Hull, Prentice Hall. Handouts will be provided in class.
Students are encouraged to take notes in class.
- Grading Policy: Homework assignments 50%, semester project
50%. The objective of grading is more to encourage students to
appreciate this advanced topic, and less to score their work.
Hence, 70% of the grade in assignments will be for effort and the
rest for correctness.
- Resources: A collection of related
courses, papers, etc.
Copyright © 2007, University of Notre Dame. All rights reserved.