IOE 623 - Computational Finance
Section: 001
Term: FA 2017
Subject: Industrial and Operations Engineering (IOE)
Department: CoE Industrial and Operations Engineering
Requirements & Distribution:
Waitlist Capacity:
Advisory Prerequisites:
MATH 316 and MATH 425 or 525.
This course counts toward the 60 credits of math/science required for a Bachelor of Science degree.
May not be repeated for credit.
Primary Instructor:

This is a course in computational methods in finance and financial modeling. Particular emphasis will be put on interest rate models and interest rate derivatives. The specific topics include; Black-Scholes theory, no arbitrage and complete markets theory, term structure models: Hull and White models and Heath Jarrow Morton models, the stochastic differential equations and martingale approach: multinomial tree and Monte Carlo methods, the partial differential equations approach: finite difference methods.

For more information on this course, please visit the Department of Mathematics webpage

IOE 623 - Computational Finance
Schedule Listing
001 (LEC)
TuTh 10:00AM - 11:30AM
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