Computational Methods in Finance
0.5 Credit

Hours per week:
  • Lecture/Discussion: 3
  • Lab: 2 (biweekly)

Numerical methods used in financial engineering and risk management, including numerical solutions of ordinarily differential equations, finite difference methods, numerical optimization, Monte Carlo and quasi-Monte Carlo methods, numerical solutions of stochastic differential equations, fast Fourier and other discrete transform methods. The computational methods are illustrated with the use of programming languages such as MAPLE, MATLAB and VBA.

Additional Course Information
MA205; MA370; and either MA307 or MA371