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MACF 402

Mathematical and Computational Finance II

3 credits · Undergraduate

Fall 2026 · Selected Topics in Probability, Statistics and Actuarial Mathematics

Topics

  • Discrete-time option pricing and model calibration
  • Implied-volatility trees
  • Probability, Brownian motion and stochastic calculus
  • Continuous-time financial models and risk-neutral hedging
  • Monte Carlo simulation and SDE discretization
  • Variance reduction
  • Volatility estimation and volatility surfaces
  • Stochastic interest rates and term-structure models
  • PDE valuation and finite-difference methods
  • American and path-dependent claims
  • Risk measures, Greeks and model risk

Readings

  • Self-contained lecture notes, slides and exercises.
    Listed reading
Sources