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Apr 18, 2024
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2020-2022 Undergraduate and Graduate Bulletin (with addenda) [ARCHIVED CATALOG]
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FRE-GY 6831 Computational Finance Laboratory1.5 Credits
The course introduces programming applications in financial modelling. Topics include variables, data types, input/output, plotting, selection statements, loop statements, functions, and classes, and implementation for Black-Scholes option pricing partial differential equation, Monte Carlo simulation, numerical methods for solving partial differential equations, and option pricing by Fourier transform.
Prerequisite(s): Graduate Standing.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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