Assignments

Sample assignments (crossing several programming languages)

- Programming basics: SQL, database operations, file operations, graphical user interface design, object-oriented programming, XML, JSON, COM, API, etc.

- Simulation modeling, optimization modeling: Evaluation of investment strategies using Monte-Carlo simulation; Multi- stage optimization

- Asset diversification and efficient frontiers: Minimum variance portfolio, given constraints using quadratic programming

- Portfolio risk measure with Value-at-risk (VaR): VaR computation using historical data and bootstrapping technique

- Derivative Pricing: Derivative pricing using Black-Scholes, binomial tree, Monte-Carlo; Bond arbitrage using linear programming

- Asset pricing models: Factor models (Regression, factor analysis, and principal component analysis). Modeling asset price dynamics (binomial trees, arithmetic random walks, geometric random walks, mean reversion, geometric mean reversion)

- Investment Management: Efficiency of investments using data envelopment analysis. Stock price movement using association analysis and/or clustering analysis

- Credit risk and social media: Credit scoring using data mining methods and publicly available datasets. Credit scoring using data mining methods and social media data from Linkedin, Facebook, and Twitter