FINANCE 706 / Computational Finance

3 unit(s)

The objective of the course is to examine the construction of computational algorithms in solving financial problems, such as the time evolution of asset prices, hedging and the pricing of options. Considerable attention is devoted to the application of computational and programming techniques to finance problems. Materials in this course are numerical and computational in nature, rather than mathematical and analytical. Topics include Monte Carlo methods, jump diffusion, discrete hedging and mean variance portfolio optimization, continuous-time financial modeling, lattice methods, binomial trees, and numerical solutions of ordinary and partial differential equations.