Computational Finance (MGT412)

Syllabus [here]

Software needed: Anaconda Python Distribution (Mac, Windows, Linux): open source
Literature: Textbook on Amazon.fr

Schedule

1. Basic Tools in Python [slides] [Jupyter]
2. Data Analysis with pandas.  [slides] [Jupyter]
3. High-frequency Data and Vizualisation. [slides] [Jupyter] [data]
4. Regression. Optimization. Symbolic Math.  [slides] [Jupyter]
5. Stochastic Processes in Python.  [slides] [Jupyter]
6. Option Pricing.  [slides] [Jupyter]
7. Portfolio Theory and PCA Analysis.  [​slides] [Jupyter] [data] [data CAC]
8. GARCH and the EM Algorithm. [slides] [Jupyter] [data SEM] [data GARCH]

Exam

TBC