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. (Mathematical Finance courses are reserved for students enrolled in the Mathematical Finance program.)

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