MATH 6205. Financial Computing. (3)

Prerequisite: MATH 6203 or permission of program. This course is devoted to Monte Carlo simulations in Finance. Particular topics include pricing derivatives by Monte Carlo method, simulation of stochastic differential equations, variance reduction techniques. The course teaches both theory and practical programming skills needed in computational financial applications. The current lab language is MATLAB (no preliminary acquaintance required).(Fall)

Course Category: 
Concentration: 
COMPUTATIONAL FINANCE