Computational Finance

3 credits · Graduate credit

This is a course in computational methods in finance and financial modeling. Particular emphasis will be put on interest rate models and interest rate derivatives. The specific topics include; Black-Scholes theory, no arbitrage and complete markets theory, term structure models: Hull and White models and Heath Jarrow Morton models, the stochastic differential equations and martingale approach: multinomial tree and Monte Carlo methods, the partial differential equations approach: finite difference methods.