MAT 472E - Computational Finance

Course Objectives

1. To provide various computational methods in mathematical finance
2. To provide their applications and assessment in practice
3. To get comfortable using a computer language for implementation

Course Description

This is an introductory course for basic computational methods and theorems to solve various problems in mathematical finance. Implementation of basic stochastic processes, Monte-Carlo simulation to approximate European, American and Asian option prices, variance reduction techniques, and computational application of Black-Scholes model are covered. A significant part of the coursework requires programming in a high-level language.