Computer Intensive Methods for Stochastic Models in Finance

Subject:

Statistics (STAT)

Catalog number:

906

Unit weight:

0.50

Meet type:

LEC

Grading basis:

NUM

Cross-listing(s):

N/A

Requisites:

N/A

Description:

Review of basic numerical methods. Simulation of random variables, stochastic processes and stochastic models in finance. Numerical solution of deterministic and stochastic differential equations. Valuation of complex financial instruments and derivative securities. Project and paper.

Topic titles:

N/A

Faculty:

Mathematics (MAT)

Academic level:

GRD

Course ID:

003104