Computational Finance

3 credits · Graduate Programs

Basic computational techniques required for expertise quantitative finance. Topics include basic econometric techniques (model calibration), tree-based methods, finite-difference methods, Fourier methods, Monte Carlo simulation and quasi-Monte Carlo methods. Prerequisite(s): Admission to a graduate program in Mathematics and Statistics or consent of the Department. Antirequisite(s): Credit for Mathematics 683 and any one of Mathematics 583, Applied Mathematics 683, or Applied Mathematics 583 will not be allowed. Also known as: (formerly Applied Mathematics 683)