Computational Methods of Mathematical Finance

GSM MF 796

This course introduces common algorithmic and numerical schemes that are used in practice for pricing and hedging financial derivative products. Among others, the course covers Monte-Carlo simulation methods (generation of random variables, exact simulation, discretization schemes), finite difference schemes to solve partial differential equations, numerical integration, and Fourier transforms. Special attention is given to the computational requirements of these different methods, and the trade-off between computational effort and accuracy.

SPRG 2017 Schedule

Section Instructor Location Schedule Notes
Z1 MW 9:30 am-10:45 am

SPRG 2017 Schedule

Section Instructor Location Schedule Notes
Z2 MW 8:00 am-9:15 am

Note that this information may change at any time. Please visit the Student Link for the most up-to-date course information.