Advanced Computational Methods
QST MF 850
This course explores algorithmic and numerical schemes used in practice for the pricing and hedging of financial derivative products in stochastic models of multiple dimensions with jumps. The focus of this course lies on Monte-Carlo simulation methods, and variance reduction techniques to control for the accuracy of such estimators. Other topics covered include multivariate numerical integration, optimization routines, and root-finding methods. (Mathematical Finance courses are reserved for students enrolled in the Mathematical Finance program.)

