Financial Computing and Entrepreneurship
PACE UNIVERSITY
SCHOOL OF COMPUTER SCIENCE AND INFORMATION SYSTEMS: COMPUTER SCIENCE
COURSE TITLE:
Financial Computing and Entrepreneurship (CS 397D)
CREDIT HOURS:
PREREQUISTES:
CS 397N; CS 325; and MAT 131 or equivalent, or instructor’s permission
TEXTBOOKS:
1.
2.
J. Hull, Fundamentals of Futures and Options Markets, 7th ed., Upper
Saddle River, NJ: Pearson Prentice Hall, 2009
S. Benninga, Financial Modeling, 2nd, Cambridge, MA: The MIT Press
2000
Entrepreneur Magazine
J. Edmonds, How to Think about Algorithms, New York: Cambridge
University Press, 2008
REFERENCES:
1.
2.
SEMESTER:
Spring 2012
Course Description: This interdisciplinary course integrates computing (computer science, information systems, and
information technology), finance, and applied entrepreneurship to provide the student analytical, quantitative, application,
and entrepreneurial skills needed for sound and strategic financial decision-making and information technology based
product creation. The course will emphasize creative problem solving and development of innovative algorithms for
financial problems relating to such topics as financial analysis and time value of money, derivative products, portfolio
management, Black-Scholes model, and interest rates. Within a collaborative team environment, the student will develop
innovative algorithmic solutions for financial problems as well as analyze, evaluate and model financial time series with
neural networks; the algorithms will be implementable in a high-level computer language (e.g. Java, C/C++, or Matlab) into
prototypes for potentially marketable financial software products. An entrepreneurial perspective will permeate the course
in the form of creative thinking and calculated risk-taking in the design and development of the algorithms and prototypes,
and the development of a quality business plan for an information technology company to market the developed software
products. There will be a reliance on entrepreneurs for team mentors, project selection and scaling, and guest speakers.
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Dr. A. Joseph
Financial Computing and Entrepreneurship
Learning Objectives and Outcomes
Each team is expected to accomplish the following by the end of the course:
Objective A
Develop relatively efficient algorithms for models of financial products
Outcomes
1. Able to strategically plan, design, and develop algorithmic solutions for analysis of derivative products, interest
rates, Black-Scholes model, or portfolio models
2. Demonstrate the ability to analyze and evaluate different types of algorithmic solutions to existing financial
problems relative to performance and efficiency when compared to existing solutions of the problems
3. Develop a prototype for a financial software product or process that shows evidence of creativity, innovation,
tradeoffs, and measured risk-taking in solving a financial problem
4. Demonstrate proficiency in the use of a programming language to implement algorithms.
Objective B
Research financial products, processes, services, markets, and data as well as examine their potential for improvement
or automation
Outcomes
1. Retrieve and process data from publicly available databases
2. Provide evidence of the basic and detailed knowledge for understanding financial products, processes, and services
3. Demonstrate the ability to identify potential markets for financial products and services
4. Show evidence of an entrepreneurial mindset in the development of the marketability of financial products,
processes, and services.
Objective C
Improve communication skills
Outcomes
1. Maintain appropriate and quality documentation of all activities relating to the course in a journal
2. Develop a quality business plan for a technology company specializing in the design and development of
algorithms for financial software products, processes, and/or services
3. Provide evidence of being able to understand financial statements and the time value of money
4. Improve collaborative skills demonstrated with team mates
5. Demonstrate an improved ability to communicate with different constituencies including professors, mentors, team
mates, and class mates
6. Exercise the ability to pitch a new business concept for a financial software or information technology company to
a wide audience.
Tentative Examination Schedule:
Course Section
In-class Exam Dates
CS 397D/CRN: 23273
2/15; 2/22; 3/7; 3/28; & 4/11/2012
Project Submissions
& Presentation
April 18, 2012
Final Exam Date
April 25, 2012
Class meeting Schedule
Course Section
CS 397D/CRN: 23273
Day, Time, and Location of Class Sessions
Wednesday: 6:00pm – 8:45pm;
First and Last Day of Class
First class: January 18, 2012
Last class: May 8, 2012
Note 1: To facilitate and promote learning, you are encouraged to download the lectures from Blackboard and study them
along with the material in the textbook. All lessons will be posted on Blackboard within a week of the lesson being
introduced. Use the textbook to complement and perhaps, at times, expand and elucidate ideas presented in the lecture
notes. Note that mere reading is not studying.
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Dr. A. Joseph
Financial Computing and Entrepreneurship
Note 2: Lessons will be presented using the team-based learning strategy including some combination of such techniques as
those highlighting active learning, inquiry-based lecture-discussion and problem based learning, collaborative learning and
problem-solving. There will be many opportunities to practice problem solving and the beginning of and throughout each
lesson. The solutions to the homework problems will be provided to you in class as a means to explain the course concepts
or through Blackboard postings. To get the most out of the course, you are encouraged to follow and keep up with the
reading assignments and genuinely attempt each homework problem before coming to class. For those problems you cannot
solve, determine the nature of your difficulty and bring it up in class or during office hours. The idea is to come to class
prepared and willing to learn as well as ready to ask questions about the course materials and problems. You will be tested
as individuals and as teams at the beginning of each major phase of course content, which is about four or five. The mantra
of this course is learning, learning, learning and more learning!
Note 3: In the interest of learning, it is very important that you foster an inquisitive mind – do all the required assignments.
Failing to do so may diminish your ability to get the most out of each lesson and the class. Studying is NOT mere reading
of the textbook and class notes and slides, it’s an intimate interaction between you and the information provided to you
in the class notes and slides and the textbook; it requires that you be mindful of the information.
NOTE 4: LEARNING IS AN ACTIVE PROCESS – IT IS MORE THAN PASSING EXAMS; IT’S ABOUT USING
WHAT’S LEARNT TO DO SOMETHING MEANINGFUL AND PRACTICAL. TO LEARN SOMETHING IS TO
UNDERSTAND IT AND TO BE ABLE TO USE IT. IT’S ABOUT KNOWLEDGE TRANSFER.
Note 5: Learning is the central objective of this course; the teaching will be done to facilitate learning.
Note 6: Learning can be described as a rich, purposeful, complex, developmental, transformational, active and
interactive, personal and social, reflective, natural and life-long, implicit, contextual, multilevel, measurable, and
somewhat unpredictable process that is deeply impacted by the cultural, structural, and leadership factors of the
organization. When someone reflects on their learning and put it into a context with what was previously learnt, he/she
is able to gain new knowledge.
Note 7: It is very important you read and familiarize yourself with SCSIS Statement of Student Responsibilities (see
Blackboard).
Note 8: You should devote at least 8 hours per week to prepare for the course – more may be needed depending on your
rate of sufficiently understanding the course content and mastering it applications as well as being successful achieving
your desired grade.
Note 9: You are strongly encouraged to spend an appropriate length of time to research, develop, and implement the
project; during the development and implementation process seek my help as needed to resolve any issue you may
encounter. Your project should reflect your personal thoughts and understanding of the assignment and must be built on
sound theory that is differentiable from your personal thoughts.
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Dr. A. Joseph
Financial Computing and Entrepreneurship
PROFESSOR’S PROFILE
Professor:
Office:
Telephone:
Email:
Office Hours:
Dr. A. Joseph
163 Williams St., 2nd floor, room 231
212 346 1492
ajoseph2@pace.edu
Wednesday: 9:00am – 2:00pm
COURSE PROFILE
EVALUATION AND ASSESSMENT
Grading Policy
Project (including prototype and Business Plan):
New Business Pitch:
Team/class participation:
Journal (Due weeks: 3, 6, 9, & 12):
Collaboration and meetings with Mentors:
Homework:
In-class examinations:
Final examination:
30%
10%
16%
10% [2/15, 2/29, 3/28, & 4/25/2012]
6%
4% [No late homework is accepted]
20% [Best four of five exams]
20%
Team’s Average Performance [Bonus]:
Above 86%:
76% -- 86%:
65% -- 75%:
Below 65%:
0 -- 10%
10%
6%
3%
0%
Final Grade Determination
Above 92
90% -- 92%
87% -- 89%
83% -- 86%
80% -- 82%
77% -- 79%
70% -- 76%
65% -- 69%
60% -- 64%
Below 60%
A
AB+
B
BC+
C
D+
D
F
Note: Grade is computed to the nearest whole number.
Note: SCSIS Student Responsibilities statement is attached to this syllabus.
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Dr. A. Joseph
Financial Computing and Entrepreneurship
TOPICS AND ASSIGNMENTS
Week #1-2
A. Return on investment and single-payment calculations: introduction, application of investment
returns, time value of money calculations, time value of money diagrams, compounding interest
rates, inflation and the time value of money, and a pension problem.
B. Project: Orientation to project, collaborative learning and team dynamics, and collection of team
formation information from students, team formation, overview of the creative process and ways
to improve it, and protecting one’s ideas through patents, trademarks, and copyrights.
C. Assignment 1:
Week #3-4
A. Interest Rates: Types of rates; measuring interest rates; zero rates; bond pricing; determining
treasury zero rates; forward rates and agreements; duration; term structure of interest rates.
B. Project: Project assignment and project approval; problem solving techniques and case studies of
algorithmic solutions to real world problems; overview of the elements of a successful business
plan; plan and design an algorithmic solution to project’s entailed financial problem; develop
effective marketing plan; and entrepreneurship, creativity, and innovation (guest speaker).
C. Assignment 2a: Meeting with mentors
Assignment 2b:
Week #5-8
A. Derivative Products: Financial derivatives (forwards and futures, options, and swaps); derivative
pricing and arbitrage; interest rate futures (day count and quotation conventions, treasury bonds,
Eurodollar, and duration based hedging strategies, hedging portfolios of assets and liabilities); and
case studies of algorithmic solutions to real world problems.
B. Project: Continue with work on project (algorithm development); develop an understanding of
financial statements and prepare a financial plan; develop and present idea of a new business to
professor and mentor; academic, technical, and moral supports to teams; and guest speaker
C. Assignment 3a: Weekly meetings with mentors
Assignment 3b:
Week #9-10
A. Black-Scholes Model: lognormal property of stock prices, expected return, volatility and implied
volatility, the idea behind the Black-Scholes model and its derivation, risk-neutral valuation,
Black-Scholes model, and using Matlab or some other high level language to implement the
Black-Scholes model and to find the implied variance.
B. Algorithm of project assignment completed and reviewed by mentors and the professor; teams
start to work on implementing the algorithm into a software prototype; and case study of
information technology entrepreneurship.
C. Assignment 4a: Meeting with mentors
Assignment 4b:
Week # 11-12
A. Portfolio Management: Portfolio models (two asset example, calculating portfolio means and
variances, general case of portfolio mean and variance, and efficient portfolio); calculation of
efficient portfolios in the absence of short sales restrictions (theorems on efficient portfolios and
capital asset pricing model, calculations of the efficient frontier with an example, and
determination of the market portfolio capital market line); and case studies of algorithmic
solutions to real world problems.
B. Project: Completion of implementation of algorithmic solution to the financial problem of the
project and the related business plan; test of the software prototype on real data, as well as the
evaluation and feedback on the completed prototype and business plan from professor and
mentors; and case study of information technology entrepreneurship.
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Dr. A. Joseph
Financial Computing and Entrepreneurship
C. Assignment 5a:Weekly meeting with mentor
Assignment 5b:
Week # 13
Project presentation and pitch of the business plan as well as submission of project report business
plan and learning journal.
Week #14
Final exam
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Dr. A. Joseph
Financial Computing and Entrepreneurship
PART 2 (SOFTWARE PRODUCT DESIGN AND DEVELOPMENT OF PROTOTYPE): TIMETABLE
WEEK
TOPICS AND ASSIGNMENTS
1
Orientation to project; collaborative learning and small group dynamics; and collection of information for
group formation
2
Group formation; the creative process and ways to improve it; and protecting one’s ideas (patents, trademarks,
and copyrights)
3
Project approval; problem solving techniques; elements of a successful business plan; and entrepreneurship
(guest lecturer)
4
Begin work on project – strategic planning and design; developing an effective marketing plan; and
entrepreneurship, creativity, and innovation (guest speaker)
5
Continue work on project – prototype development; and understanding financial statements and preparing a
financial plan (guest speaker)
6-9
Continue work on prototype development; preprocessing of raw data; develop pitch of new business, and
technical support to teams (guest speakers or field trips)
10-11
Project completed and tested on real data as well as project evaluation and feedback (guest speakers and
professors)
12-13
Class presentations including pitch for new business
14
Submission of project with supporting documentation including business plan
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Dr. A. Joseph
Financial Computing and Entrepreneurship
Note 1: This course section is structured around small collaborative groups in a cooperative learning environment. These
groups are called teams. A main objective of the course is to have heterogeneous teams of mixed gender and of different
academic, experiential, cultural, and ethnic backgrounds work together to develop and market a financial software product.
Students are encouraged to work together in their respective teams to form effective and very productive entrepreneurial
enterprises that share the learning experience within the context of the course and its expected outcome, help each other
with learning difficulties, and spend sufficient time to get to know each other. Each team member is expected to partake in
the research, problem identification, and decision making of its team project and is responsible for the project’s successful
completion and submission. Importantly, a condition for a project’s approval is that through the advice of industry experts,
a team will identify and consult with companies in need of a solution to its chosen problem. Each team member will be
individually graded in proportion to his or her contribution to the project. Team members must budget their available time
to ensure that they can devote the necessary amount of time needed to successfully complete the project.
Note 2: During the first class session, student background information will be collected for the purpose of forming the
teams and assessing students’ knowledge of the relevant subject areas. Students will be placed in teams by the second class
meeting. These are entrepreneurial teams of excellence that are analogous to an enterprising small business and as such
may assign itself a class acknowledged recognized name.
Note 3: Provisions will be made to have the completed projects posted on a website specifically designed for this purpose.
Note 4: To ensure that each team completes its project in a timely fashion, a strict time schedule will be followed. There
will be deliverable dates for each team to have specific components of its software prototype and technology company
business plan completed.
Teams: Each team will consist of three to four students who will participate in the necessary research, planning, design, and
development of the team’s project and associated technology business plan. The prototyped software product resulting from
the project must be done using a high-level programming language or equivalent. In addition, each team will maintain
proper documentation of all activities relating to the software product prototype including a business plan, marketing plan,
and a financial statement for the associated computing technology company. There will also be a website devoted to the
course.
Web support: This course will be supported with Blackboard postings of instruction and guidelines pertaining to the course
as well as class presentations, small business related news, team and class discussions, email correspondence about the
course, questions relating to individual projects, and miscellaneous course related activities and information.
Supplementary materials: There will be handouts in class or web postings of current events and issues that affect
Financial Computing and Entrepreneurship. Some books that may be helpful for the course will be posted on
Blackboard along with links to pertinent websites.
Entrepreneurship, creativity, and innovation
Who creates a new activity in the face of risk and uncertainty for the purpose of achieving success and growth by
identifying opportunities and putting together the required resources to benefit from them?
Creativity is the ability to develop new ideas and to discover new ways to of looking at problems and opportunities
Innovation is the ability to apply creative solutions to those problems and opportunities to enhance or to enrich people’s
lives.
Entrepreneurial mindset: Each student is required to take an entrepreneur personality test during the first week of class
and again, during the last week of class. The entrepreneur personality pre-test will be used to assist in the team formation.
What is your team’s name?
What is your team’s average entrepreneur personality score?
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Dr. A. Joseph