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Apr 19, 2024
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2020-2022 Undergraduate and Graduate Bulletin (with addenda) [ARCHIVED CATALOG]
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FRE-GY 6251 Numerical and Simulation Techniques in Finance1.5 Credits
Advanced numerical techniques for the solution of ordinary, partial and stochastic differential equations are presented. These techniques are analyzed mathematically and use computer aided software that allows for the solution and the handling of such problems. In addition, the course introduces techniques for Monte Carlo simulation techniques and their use to deal with theoretically complex financial products in a tractable and practical manner. Both self-writing of software as well as using outstanding computer programs routinely employed in financial and insurance industries will be used.
Prerequisite(s): FRE-GY 6083 and Graduate Standing.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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