MATH 6204. Numerical Methods for Financial Derivatives. (3)

Prerequisite: MATH 6203 or permission of program. This course will introduce students to numerical and computational techniques for solving both European- and American-style financial derivatives. The approach will be the finite difference method and the basic theoretical concepts will be introduced. Final projects will involve implementing the techniques on computers. Some spectral and Monte Carlo methods will also be discussed. (Fall)

Course Category: 
Concentration: 
COMPUTATIONAL FINANCE