Review Comment

[IEOR E4500] Applications Programming for Financial Engineering

January 24, 2014

Kani, Iraj
[IEOR E4500] Applications Programming for Financial Engineering

Please keep in mind that this review is more than 5 years old.

The course description is a bit misleading. Most of the assignments are heavily invested in Excel VBA and there is only C++ assignment in the course (the first one). Otherwise, the focus is placed on mathematics concepts applied to arbitrage, pricing models, portfolio optimization, etc.

The TA's handle the grading and logistics of the class. Prof. Kani serves as the lecturer. His delivery could use some work and he has a tendency to banter about non-class related topics, but the notes he posts are very detailed and very explicit. If anything, the best part about the class is being able to have those notes for your reference if you ever decide to do quantitative analysis. He is also very approachable before and after class.

The grading is fairly lenient and the TA/CA staff were accommodating for busy schedules. There was a required presentation for each assignment, but my schedule didn't allow me to attend any. It is essentially a 30-minute (max) breakdown of how you approached each problem on the homework. They are also very responsive to e-mails.

The content of the course is very difficult and very broad. Going to lecture is not enough as you will need to read the notes very carefully while tackling the homework. Expect to meet up with your group regularly to manage the work load. There are no exams, but the homework is more than enough to make up for that. The final project can also be as difficult as you want to define it. Make sure there is enough content on it to justify a 30 minute presentation.

Workload:

4 Homeworks (60%)
1 Final Project (30%)
Participation (10%)

Directory Data

Dept/Subj Directory Course Professor Year Semester Time Section
IEOR / IEOR IEOR IEOR E4500: Applications Programmng for Fe Daniel Bienstock 2012 Fall MW / 10:10-11:25 AM 1
IEOR / IEOR IEOR IEOR E4500: Applications Programmng for Fe Daniel Bienstock 2012 Spring MW / 2:40- 3:55 PM 1
IEOR / IEOR IEOR IEOR E4500: Applications Programmng for Fe Daniel Bienstock 2011 Spring TR / 2:40- 3:55 PM 1
IEOR / IEOR IEOR IEOR E4500: Applications Programmng for Fe Daniel Bienstock 2010 Spring TR / 2:40- 3:55 PM 1
IEOR / IEOR IEOR IEOR E4500: Applications Programmng for Fe Daniel Bienstock 2009 Spring MW / 10:35-11:50 AM 1