Review of financial asset price and option valuation models; model calibration; tree-based methods; finite-difference methods; Monte Carlo simulation; Fourier methods.
This course may not be repeated for credit.
Prerequisite(s)
- Mathematics 381 or Applied Mathematics 481; Mathematics 413 or Applied Mathematics 413; Mathematics 493 or Applied Mathematics 493.
Antirequisite(s)
- Credit for Mathematics 583 and Applied Mathematics 683 will not be allowed. Also known as: (formerly Applied Mathematics 583)
Sections
This course will be offered next in
Winter 2021.