Mar 29, 2024  
Graduate Catalog | 2021-2022 
    
Graduate Catalog | 2021-2022 Previous Edition

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MATH 6204 - Numerical Methods for Financial Derivatives


This course will introduce students to numerical and computational techniques for solving both European- and American-style financial derivatives. The approach will be the finite difference method and the basic theoretical concepts will be introduced. Final projects will involve implementing the techniques on computers. Some spectral and Monte Carlo methods will also be discussed.

Credit Hours: (3)
Most Recently Offered (Day): Course has not been offered at this time in the past 3 years
Most Recently Offered (Evening): Fall 2019, Fall 2020, Fall 2021


Schedule of Classes




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