University of Calgary

MATH 683 - Computational Finance - Winter 2017

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.

Hours

  • H(3-0)

Notes

  • 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)

Prerequisite(s)

  • Applied Mathematics 481 and 491.

Antirequisite(s)

  • Credit for more than one of Applied Mathematics 683, 583 and Mathematics 683 will not be allowed.
Syllabus

Sections

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