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Course Information

Course Name
Turkish Hesaplamalı Finans
English Computational Finance
Course Code
MAT 472E Credit Lecture
Semester 8
3 3 - -
Course Language English
Course Coordinator Ahmet Duran
Ahmet Duran
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.
Course Outcomes
Required Facilities
Other References
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