University of Waterloo

Computer Science

CS 476: Numeric Computation for Financial Modeling

Designed and implemented Monte Carlo simulations in the R programming language for pricing a wide array of financial options including European, American, Asian, Parisian, and Butterfly, sampling from Black-Scholes geometric solutions and the PDE second-order discretization. Studied basic Stochastic Calculus with emphasis on Ito processes and solutions to Black-Scholes.

CS 246: Object-Oriented Software Development

Designing, coding, debugging, testing, and documenting medium-sized programs: reading specifications and designing C++ software to implement them; selecting appropriate data structures and control structures; writing reusable code; reusing existing code; basic performance issues; debuggers; test suites

CS 230: Introduction to Computer Systems

Basic computer architecture, organization, system services, and software. Typology of processors, memory, I/O devices, and their performance.

STAT 433: Stochastic Processes

Measure Theory, Convergence Theorems, Conditional Expectation, Martingales, Markov chains, Phase Distributions, Queues, Renewal Theory, and Brownian Motion with a special focus on proofs and real analysis foundations, especially measure theory.

STAT 443: Forecasting

Modelling techniques for forecasting time series data: smoothing methods, regression including penalty/regularization methods, the Box-Jenkins framework, stationary and non-stationary processes, both with and without seasonal effects. SARIMA models.

STAT 441: Statistical Learning: Classification (Machine Learning)

Data cleanup, feature engineering, and classification using logistic regression, SVM, Random Forest, XGBoost, Neural Networks, and prediction stacking.

STAT 341: Computational Statistics and Data Analysis

A computationally focused approach to statistical reasoning in the context of real data. Functional programming in R and algorithms will be used to define interesting attributes of finite populations and their sampling characteristics. Computational approaches to inductive inference and the assessment of predictive accuracy.

CO 456: Game Theory

Strategic games, Matchings, Cooperative games, and combinatorial games.
Wrote a Khun poker AI as a final project using CFR, the state of the art algorithm for poker AI’s.

CO 487: Applied cryptograph

A broad introduction to modern cryptography, highlighting the tools and techniques used to secure internet and messaging applications. Symmetric-key encryption, hash functions, message authentication, authenticated encryption, public-key encryption and digital signatures, key establishment, key management.

CO 353: Computational Discrete Optimization

Implemented discrete algorithms in C++, achieving required time complexities through polynomial reductions to common graph, matroid, primal-dual, LP-relaxations, and network flow algorithms.
Proof of correctness of algorithms.
Complexity Theory

CO 333: Combinatorial Enumeration

The algebra of formal power series. The combinatorics of the ordinary and exponential generating series. Lagrange’s implicit function theorem, applications to the enumeration of permutations, functions, trees and graphs. Integer partitions, geometric methods, enumerating linear transformations. Introduction to the pattern algebra, applications to the enumeration of strings. Lattice paths, Wiener-Hopf factorization. Enumeration under symmetries
Resources:
- https://enumeration.ca/

AMATH 251: Introduction to Differential Equations (Advanced Level)

AMATH 242: Introduction to Computational Mathematics

Numerical evaluation of integrals, interpolation using splines, sparse linear systems, signal processing and image compression.

ACTSC 372: Investment Science and Corporate Science

Introduction to financial markets. Different return and risk measures. Investment rules and capital budgeting. Rigorous derivations of Markowitz portfolio optimization and its application in investment decisions. Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT). Weighted average cost of capital (WACC) and efficient market hypothesis (EMH). Long-term financing, capital structure (MM propositions), and dividend policies. Introduction to options, forwards, and swaps.