46-925 Financial Data Science III

6 units, Carnegie Mellon University

This course will introduce a set of data science methods that are important in quantitative finance including Markov chain Monte Carlo MCMC, bootstrapping and advanced simulation topics not covered in the MSCF simulation course. The methods will be applied to a wide range of finance problems drawn from the quantitative finance literature including options, risk management, cryptocurrency, credit, portfolio construction, and limit order books. Prerequisites FDS 1 46921, FDS 2 46923, Simulation Methods for Option Pricing 46932 and Financial Time Series Analysis 46929

Prerequisites: none listed

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