MATH 623 - Computational Finance
Section: 001
Term: FA 2017
Subject: Mathematics (MATH)
Department: LSA Mathematics
Credits:
3
Requirements & Distribution:
BS
Waitlist Capacity:
30
Advisory Prerequisites:
MATH 316 and MATH 425 or 525.
BS:
This course counts toward the 60 credits of math/science required for a Bachelor of Science degree.
Repeatability:
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

MATH 623 - Computational Finance
Schedule Listing
001 (LEC)
P
16882
Closed
0
 
-
TuTh 10:00AM - 11:30AM
Note: Enrollment for this course is by waitlist only. Preference will be given to students in the Quantitative Finance & Risk Management program and Math PhD students. Prerequisites: Differential equations (e.g. Math 316); probability theory (e.g. Math 525/526, Stat 515); numerical analysis (Math 471 and Math 472); mathematical finance (Math 423 and Math 542/IOE 552, Math 506 or permission from instructor); programming (e.g. C, Matlab, Mathematica, Java).
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