Financial Informatics and Simulation (Computer Labs and Practitioner Seminar)
MATH 512

Spring 2014
MATH512 Spring 2017
Financial Informatics and Simulation
Lecture 1: Introduction
TingKam Leonard Wong
Department of Mathematics, University of Southern California
January 9, 2017
1 / 12
Instructor
I
Financial Informatics and Simulation (Computer Labs and Practitioner Seminar)
MATH 512

Spring 2015
Project 3 Mathematics 512
Instructor: Ricardo Mancera
Due date: TBA
Spring 2015
1.
a) Estimate the following expected value :
where
is a Wiener process.
b) Use a variance reduction technique (Antithet
Financial Informatics and Simulation (Computer Labs and Practitioner Seminar)
MATH 512

Spring 2015
Project 4 Mathematics 512
Instructor: Ricardo Mancera
Due date: TBA
Spring 2015
1.
Consider the stock AMZN that does not pay dividends.
a) Estimate the historical volatility
using the closing prices o
Financial Informatics and Simulation (Computer Labs and Practitioner Seminar)
MATH 512

Spring 2015
Project 6 Mathematics 512
Instructor: Ricardo Mancera
Spring 2015
Due date : Fr, April 24
1. VAR
(Historical Approach)
Consider a portfolio that consists of the following assets:
US$100.000 in S&P 500
Financial Informatics and Simulation (Computer Labs and Practitioner Seminar)
MATH 512

Spring 2015
Project 2 Mathematics 512
Instructor: Ricardo Mancera
Spring 2015
Due date: Wed, Feb 04
1.
Let
matrix
be a Gaussian random vector having the following mean
:
and variancecovariance
a) Using the Chole
Financial Informatics and Simulation (Computer Labs and Practitioner Seminar)
MATH 512

Spring 2015
Project 1 Mathematics 512
Instructor: Ricardo Mancera
Spring 2016
Due date: Friday, Jan 22
1.
a) Use the random number generator
generate 10000 uniformly distributed random numbers on
with
and plot th
Financial Informatics and Simulation (Computer Labs and Practitioner Seminar)
MATH 512

Spring 2015
Warmup Homework: Vectorization
Generate the vector y = sin(x2 ) for x [0, ] in three ways:
a) sequential, using a forloop, for example:
h = /n; f or i = 0 : h : , y(i) = sin(i); end
b) the same as in
Financial Informatics and Simulation (Computer Labs and Practitioner Seminar)
MATH 512

Spring 2015
Small project
Let matrix A Rnn . As A use the Vandermonde matrix, V (dened as
Vi,j = xnj , i, j = 1, ., n), xi [0, 1] equidistantly distributed.
i
Note: use Matlab commands V=vander(x), where x=linspa
Financial Informatics and Simulation (Computer Labs and Practitioner Seminar)
MATH 512

Spring 2014
MATH 512
Financial Informatics and Simulation
Spring 2017
Instructor: Leonard Wong
Time and Location: MWF 11:0011:50pm, VKC 152
Email: [email protected]
Office Hours: W 13pm, KAP 406H, or by appointmen
Financial Informatics and Simulation (Computer Labs and Practitioner Seminar)
MATH 512

Spring 2014
MATH512 Spring 2017
Assignment 1
Due: January 27, 2017
The first two problems are standard and straightforward, but the first also invites you to think about the
behaviors of heavytailed distribution
Financial Informatics and Simulation (Computer Labs and Practitioner Seminar)
MATH 512

Spring 2014
MATH512 Spring 2017
Assignment 5
Due: March 24, 2017
In this problem set we will work with the research and algorithm environments of Quantopian. It is
lighter than the previous assignments so that yo
Financial Informatics and Simulation (Computer Labs and Practitioner Seminar)
MATH 512

Spring 2014
MATH512 Spring 2017
Financial Informatics and Simulation
Lecture 2: Random Number Generation
TingKam Leonard Wong
Department of Mathematics, University of Southern California
January 11, 2017
1 / 20
Financial Informatics and Simulation (Computer Labs and Practitioner Seminar)
MATH 512

Spring 2014
MATH512
Spring 2017
6. Brownian motion and geometric Brownian motion
TingKam Leonard Wong
Department of Mathematics, University of Southern California
January 23, 2017
1 / 18
Brownian motion
The 1di
Financial Informatics and Simulation (Computer Labs and Practitioner Seminar)
MATH 512

Spring 2014
MATH512 Spring 2017
Financial Informatics and Simulation
Lecture 3: <random>
TingKam Leonard Wong
Department of Mathematics, University of Southern California
January 13, 2017
1 / 11
Introduction
To
Financial Informatics and Simulation (Computer Labs and Practitioner Seminar)
MATH 512

Spring 2014
MATH512
Spring 2017
5. Designing and implementing a class
TingKam Leonard Wong
Department of Mathematics, University of Southern California
January 18, 2017
1 / 11
Introduction
Taken from The C+ Prog
Financial Informatics and Simulation (Computer Labs and Practitioner Seminar)
MATH 512

Spring 2014
MATH512
Spring 2017
4. Multivariate Normal and Cholesky Decomposition
TingKam Leonard Wong
Department of Mathematics, University of Southern California
January 18, 2017
1 / 16
Multivariate normal dis
Financial Informatics and Simulation (Computer Labs and Practitioner Seminar)
MATH 512

Spring 2015
Project 5 Mathematics 512
Instructor: Ricardo Mancera
Spring 2015
Due date : Fr, March 27
1.
For this project we are required to price a 5 month American put option when the stock price
strike price
,