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MA671

Computational Methods in Finance

0.5 credits · Graduate

Winter 2019

Topics

  • Numerical ODE and SDE methods
  • finite differences
  • optimization
  • Monte Carlo and transforms
  • programming applications to financial engineering.

Readings

  • Financial Mathematics: A Comprehensive Treatment — G. Campolieti and R. N. Makarov (2014).
    Listed
Sources