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Dec 30, 2024
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MATH 6205 - Financial Computing
This laboriented course introduces the numerical methods needed for quantitative work in finance, focusing on derivative pricing and fixed income applications. Topics include: binomial and trinomial methods, Crank-Nicholson methods for various exotic options, treatment of discrete dividends, numerical methods for stochastic differential equations, random number generators, Monte-Carlo methods for European and American options. The computing course teaches theory and practice of numerical finance as well as the programming skills needed to build software systems in C/C++, Java, Javascript, and Mathematica/Matlab.
Credit Hours: (3)
Schedule of Classes
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