FRE-GY 6251 Numerical and Simulation Techniques in Finance

1.5 Credits

The course presents advanced numerical techniques to solve ordinary, partial and stochastic differential equations. 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 matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department

Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0