Hedge Fund

Topics: Simulation, Monte Carlo methods in finance, Monte Carlo method Pages: 7 (1259 words) Published: July 14, 2013
|[pic] |Quantitative Financial Analysis | | |2 credits | | | | | |BU.230.710.51 | | |Thursdays 6-9pm, 06/06/2013 to 08/01/2013 | | | | | |Summer 2013 | | |Washington, DC Center, room 201 | | | |

Instructor
Stuart Urban

Contact Information
Phone Number: (443)956-6067
E-mail Address: surban1@jhu.edu

Teaching Assistant
Ben Brock: bbrock1@jhu.edu

Office Hours
Saturdays, 10:00am – 12:30pm at DC Center (room 201) or by appointment

Required Text and Learning Materials:

Stochastic Simulation and Applications in Finance with MATLAB Programs, (2008), Huu Tue Huynh, Van Son Lai, Issouf Soumare (HLS) [this book may be available as an e-book for students]

MATLAB: An Introduction with Applications 4th Edition (2010) or earlier Editions, Amos Gilat (AG)

Software: Matlab, student version (provided by Carey)

Optional Reference Book:
Options, Futures and Other Derivatives, 7th or 8th Edition, John C. Hull

Blackboard Site
A Blackboard course site is set up for this course. Each student is expected to check the site throughout the semester as Blackboard will be the primary venue for outside classroom communications between the instructors and the students. Students can access the course site at https://blackboard.jhu.edu. Support for Blackboard is available at 1-866-669-6138.

Course Evaluation
As a research and learning community, the Carey Business School is committed to continuous improvement. Therefore each student must complete the course evaluation as part of the continuous improvement process. Information on how to complete the evaluation will be provided near the end of the course.

Disability Services
Johns Hopkins University and the Carey Business School are committed to making all academic programs, support services, and facilities accessible. To determine eligibility for accommodations, please contact the Carey Disability Services Office at time of admission and allow least four weeks prior to the beginning of the first class meeting. Students should contact Rachel Hall in the Disability Services office by phone at 410-234-9243, by fax at 443-529-1552, or email: carey.disability@jhu.edu.

Important Academic Policies and Services
• Honor Code
• Statement of Diversity and Inclusion
• Tutoring
• Carey Writing Center
• Inclement Weather Policy
Students are strongly encouraged to consult the Johns Hopkins Carey Business School Student Handbook and Academic Catalog and the School website http://carey.jhu.edu/syllabus_policies for detailed information regarding the above items.

Course Description:
This course is intended to deal with the fundamentals of Monte Carlo simulation techniques and their applications in finance. Using Matlab as the programming platform, this course will expose students to hands-on computer exercises on advanced quantitative topics. This course will train students to...
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