AMS 515, Case Studies in Machine Learning and Finance (Starting Spring 2023)
The course will cover applications of Quantitative Finance to risk assessment, portfolio
management, cash flow matching, securities pricing and other topics. Particular attention
will be paid to machine learning approaches, such as neural networks and support vector
machines, data collection and analysis, the design and implementation of software.
We will study differences between theory and practice in model application, including
in-sample and out-of-sample analysis.
3 credits, ABCF grading
Textbooks: There are NO REQUIRED textbooks
Supplemental reading:
Zabarankin, M. and S. Uryasev. Statistical Decision Problems. Selected Concepts and
Portfolio Safeguard Case Studies. Optimization and Its Applications, Vol. 85, Springer,
2014. Print ISBN: 978-1-4614-8470-7, Electronic ISBN: 978-1-4614-8471-4 .
http://www.springer.com/mathematics/applications/book/978-1-4614-8470-7