Basic computational techniques required for expertise quantitative finance. Topics include basic econometric techniques (model calibration), tree-based methods, finite-difference methods, Fourier methods, Monte Carlo simulation and quasi-Monte Carlo methods.
This course may not be repeated for credit.
- Although a brief review of asset price and option valuation models is included, it is recommended that students take Mathematics 681 prior to taking this course. Also known as: (formerly Applied Mathematics 683)
- Applied Mathematics 481 and 491.
- Credit for more than one of Applied Mathematics 683, 583 and Mathematics 683 will not be allowed.