Application Deadlines: February 26 and March 18, 2020
Program Dates: June 20 - July 10, 2020
The Summer Financial Math Program at the University of Chicago welcomes students with strong quantitative skills to explore opportunities in the field of Financial Math. This three-week program for undergraduate students and recent graduates provides a rigorous introduction to modern applications in Financial Math through an interdisciplinary curriculum delivered by lecturers and industry experts affiliated with the Financial Math MS program at UChicago. Participants in this program will receive University of Chicago undergraduate course credit. Those who successfully complete the Summer Financial Math Program and eventually matriculate in the Financial Math MS program within the next four years may apply credit earned towards that degree program.
This course in Quantitative Portfolio Management and Algorithmic Trading teaches quantitative finance and algorithmic trading with an approach that emphasizes computation and application. The first half of the course focuses on designing, coding, and testing automated trading strategies in Python, with particular consideration to market models, infrastructure, and order execution. The second half of the course builds on this by covering case studies in quantitative investment that illustrate key issues in allocation, attribution, and risk management. Students will have the chance to learn classic models as well as more modern, computational approaches, all illustrated with application.