Tentative Lecture Schedule: Computational Finance (COMP 510)

OPTION THEORY

date	topic					readings
=============================================================================
9/2	Course overview				(Hull ch. 1 or Wilmott ch. 1)
9/4	Mechanics of Markets

9/9	Derivatives
9/11	Pricing Futures 

9/16	Properties of Stock Options
9/18	Random Walk Models

9/23	Binomial Trees
9/25	The Black Scholes Model

9/30	Finite Difference Methods
10/2	Exotic Options

10/7	No class (Chung Yeung Festival)
10/9	Catch up / presentations (1)

DATA ANALYSIS

10/14	Financial Time Series Data
10/16	Linear Time Series Analysis

10/21	Garch Models
10/23	Regression Analysis

10/28	Clustering and Pattern Recognition
10/30	Fractal Analysis

11/4	Spectral Analysis
11/6	Catch up / Presentations (2)

TRADING STRATEGIES

11/11	The Capital Assets Pricing Model
11/13	Order Execution and Leverage

11/18	Introduction to Online Algorithms
11/20	Competitive analysis for finance

11/25	Money management and the Kelly criteria
11/27	Technical analysis

12/2	Pairs trading and other strategies
12/4	Catch-up / presentations / final thoughts (3)