IEOR E4732

COMPUT METHODS IN FINANCE

Columbia University in the City of New York · UGRD · Fall 2026

1 section

Catalog description

Application of various computational methods/techniques in quantitative/computational finance. Transform techniques: fast Fourier transform for data de-noising and pricing, finite difference methods for partial differential equations (PDE), partial integro-differential equations (PIDE), Monte-Carlo simulation techniques in finance, and calibration techniques, filtering and parameter estimation techniques. Computational platform will be C /Java/Python/Matlab/R

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Class #columbia_in_city_new_york-IEORE4732Fall 2026UGRD3.00 credits

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