Computational Methods of Mathematical Finance

GSM MF 796

This course develops algorithmic and numerical schemes that are used in practice for pricing and hedging financial derivative products. Focus is given on Monte-Carlo simulation methods (generation of random variables, exact simulation of stochastic processes, discretization schemes for pricing and hedging of contingent claims, variance reduction techniques, and estimation of sensitivities with respect to model parameters), model calibration to market data, and estimation of model parameters.