Financial Computing and Entrepreneurship (CS 397D)








CS 397N; CS 325; and MAT 131 or equivalent, or instructorís permission




1.       J. Hull, Fundamentals of Futures andOptions Markets, 7th ed., Upper Saddle River, NJ: Pearson Prentice Hall, 2009

2.       S. Benninga, Financial Modeling, 2nd, Cambridge, MA: The MIT Press 2000



1.       Entrepreneur Magazine

2.       J. Edmonds, How to Think about Algorithms, New York: Cambridge University Press, 2008





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.


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



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



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



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

Project Submissions & Presentation

Final Exam Date

CS 397D/CRN: 23273

2/15; 2/22; 3/7; 3/28; & 4/11/2012

April 18, 2012

April 25, 2012


Class meeting Schedule


Course Section

Day, Time, and Location of Class Sessions

First and Last Day of Class

CS 397D/CRN: 23273

Wednesday: 6:00pm Ė 8:45pm;

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.


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 Ė 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, itís 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 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 Ė 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.







Dr. A. Joseph



163 Williams St., 2nd floor, room 231



212 346 1492


Office Hours:


Wednesday: 9:00am Ė 2:00pm





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:



10% [2/15, 2/29, 3/28, & 4/25/2012]




4% [No late homework is accepted]

In-class examinations:


20% [Best four of five exams]

Final examination:



Teamís Average Performance [Bonus]:

Above 86%:

76% -- 86%:

65% -- 75%:

Below 65%:


0 -- 10%










Final Grade Determination


Above 92

90% -- 92%



87% -- 89%



83% -- 86%



80% -- 82%



77% -- 79%



70% -- 76%



65% -- 69%



60% -- 64%



Below 60%






Note: Grade is computed to the nearest whole number.



Note: SCSIS Student Responsibilities statement is attached to this syllabus.





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 oneís 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 projectís 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.


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














Orientation to project; collaborative learning and small group dynamics; and collection of information for group formation




Group formation; the creative process and ways to improve it; and protecting oneís ideas (patents, trademarks, and copyrights)




Project approval; problem solving techniques; elements of a successful business plan; andentrepreneurship (guest lecturer)




Begin work on project Ė strategic planning and design; developing an effective marketing plan; and entrepreneurship, creativity, and innovation (guest speaker)




Continue work on project Ė prototype development; and understanding financial statements and preparing a financial plan (guest speaker)




Continue work on prototype development; preprocessing of raw data; develop pitch of new business, and technical support to teams (guest speakers or field trips)




Project completed and tested on real data as well as project evaluation and feedback (guest speakers and professors)




Class presentations including pitch for new business




Submission of project with supporting documentation including business plan





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 projectís successful completion and submission.Importantly, a condition for a projectís 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 studentsí 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 teamís 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 peopleís 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 teamís name?


What is your teamís average entrepreneur personality score?