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, 413 and 493.
Antirequisite(s)
- Credit for Mathematics 583 and 683 will not be allowed. Also known as: (formerly Applied Mathematics 583)
Sections