MA 671

Computational Methods in Fin

Numerical methods used in financial engineering and risk management, including numerical solutions of ordinary 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. Prerequisites: MA570 and MA507 or MA571 or equivalent. Exclusions: MA686B, MA471