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Contents
Many models used in finance end up in formulation of highly mathematical problems. Solving these equations exactly in closed form is impossible as the experience in other fields suggests. Therefore, we have to look for efficient numerical algorithms in solving complex problems such as option pricing, risk analysis, portfolio management, etc.
Computational finance, generally referring to the application of computational techniques to finance, has become an integral part of modeling, analysis, and decision-making in the financial industry. In this course an introduction will be given to the theory of derivative pricing. Several computational approaches such as Monte Carlo methods, lattice methods, and numerical PDE (Partial Differential Equation) techniques will be covered. The application of these algorithms on distributed computing architectures will be outlined.
Registration at
Registration for courses is mandatory, but will be done by the Education Service Centre for the 1st year MSc students for courses of the first semester. See also
http://www.student.uva.nl and choose your master and then 'New procedure 'Registration for courses Faculty of Science'.
Format
To be announced
Assessment
3 Projects
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