Purdue University
School of Electrical and Computer Engineering
ECE 695 Financial Engineering
Spring 2010 TTh 12-1:15pm
Prof. Ilya Pollak
The overall objective of this course will be to provide an introduction
to quantitative finance for electrical engineers who may not
necessarily have had any experience with financial markets.
The prerequisites for this course are:
- Strong background in undergraduate-level courses on probability
(ECE 302 or equivalent) and signals and systems (ECE 301 or
equivalent).
- Most importantly: strong interest in learning about financial
markets and willingness to put in a significant amount of time and effort.
Some examples of the topics likely to be covered are: portfolio
optimization, noise removal from financial data, time series
analysis tools, market microstructure, execution algorithms,
capital asset pricing model, risk analysis, behavioral finance.
Text:
D. Ruppert. Statistics and Finance: An Introduction. Springer-Verlag
New York, 2004. ISBN 0-387-20270-6
The text is not available at the bookstore but can be ordered online.