PACE UNIVERSITY
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COURSE TITLE: |
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Financial Computing and Entrepreneurship (CS 397D) |
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CREDIT HOURS: |
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PREREQUISTES: |
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CS 397N; CS 325; and |
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TEXTBOOKS: |
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1.
2.
S. Benninga, Financial Modeling, 2nd,
Cambridge, MA: The MIT Press 2000 |
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REFERENCES: |
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1.
Entrepreneur
Magazine 2.
J. Edmonds, How to Think about Algorithms, New
York: Cambridge University Press, 2008 |
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SEMESTER: |
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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
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:
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Course
Section |
In-class
Exam Dates |
Project
Submissions & Presentation |
Final
Exam Date |
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CS
397D/ |
2/15;
2/22; 3/7; 3/28; & 4/11/2012 |
April
18, 2012 |
April
25, 2012 |
Class meeting Schedule
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Course
Section |
Day,
Time, and Location of Class Sessions |
First
and Last Day of Class |
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CS 397D/CRN:
23273 |
Wednesday: 6:00pm – 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 – 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
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.
Professor:
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Dr. A. Joseph
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Office:
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Telephone: |
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212 346 1492 |
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Email: |
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Office Hours: |
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Wednesday: 9:00am – 2:00pm |
Project (including
prototype and Business Plan):
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30%
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New Business Pitch: |
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10% |
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Team/class participation: Journal (Due weeks: 3, 6, 9, & 12): Collaboration and meetings with
Mentors: |
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16% 10% [2/15, 2/29, 3/28, & 4/25/2012] 6% |
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Homework: |
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4% [No late homework is accepted] |
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In-class examinations: |
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20% [Best four of five exams] |
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Final examination: |
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20% |
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Team’s Average Performance
[Bonus]: Above 86%: 76% -- 86%: 65% -- 75%: Below 65%: |
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0 -- 10% 10% 6% 3% 0% |
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Above 92
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A
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90% -- 92% |
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A- |
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87% -- 89% |
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B+ |
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83% -- 86% |
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B |
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80% -- 82% |
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B- |
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77% -- 79% |
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C+ |
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70% -- 76% |
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C |
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65% -- 69% |
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D+ |
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60% -- 64% |
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D |
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Below 60% |
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F |
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Note: Grade is computed to the
nearest whole number. |
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Note: SCSIS
Student Responsibilities statement is attached to this syllabus.
TOPICS
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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:
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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:
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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: |
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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: |
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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: |
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Week
# 13 |
Project
presentation and pitch of the business plan as well as submission of project
report business plan and learning journal. |
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Week
#14 |
Final
exam |
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PART 2 (SOFTWARE PRODUCT DESIGN AND DEVELOPMENT OF
PROTOTYPE): TIMETABLE
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WEEK |
TOPICS AND ASSIGNMENTS
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1 |
Orientation to project;
collaborative learning and small group dynamics; and collection of
information for group formation |
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2 |
Group formation; the
creative process and ways to improve it; and protecting one’s ideas (patents,
trademarks, and copyrights) |
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3 |
Project approval; problem
solving techniques; elements of a successful business plan; and entrepreneurship (guest lecturer) |
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4 |
Begin work on project –
strategic planning and design; developing an effective marketing plan; and
entrepreneurship, creativity, and innovation (guest speaker) |
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5 |
Continue work on project – prototype
development; and understanding financial statements and preparing a financial
plan (guest speaker) |
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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) |
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10-11 |
Project completed and
tested on real data as well as project evaluation and feedback (guest
speakers and professors) |
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12-13 |
Class presentations
including pitch for new business |
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14 |
Submission of project with
supporting documentation including business plan |
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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. |
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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. |
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Note 3: Provisions will be made to have the completed
projects posted on a website specifically designed for this purpose. |
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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. |
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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. |
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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.
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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
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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? |
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Creativity
is the ability to develop new ideas
and to discover new ways to of looking
at problems and opportunities |
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Innovation
is the ability to apply creative solutions to those problems and
opportunities to enhance or to enrich people’s lives. |
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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. |
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What is your team’s name? |
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What is your team’s average entrepreneur personality
score? |