Course Description

MFIN 706
Computational Finance

The objective of the course is to examine the construction of computational algorithms in solving financial problems, such as the time evolution of asset prices, hedging and the pricing of options.  Considerable attention is devoted to the application of computational and programming techniques to finance problems.  Materials in this course are numerical and computational in nature, rather than mathematical and analytical.  Topics include Monte Carlo methods, jump diffusion, discrete hedging and mean variance portfolio optimization, continuous-time financial modelling  lattice methods, binomial trees, and numerical solutions of ordinary and partial differential equations.

Course Offerings

Fall 2017

Code Section Outline
C01

Summer 2014

Code Section Outline
C01
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