Projects in Mathematical and Computational Finance. 3 credits, 3 contact hours

Catalog description

Prerequisites: MATH 604 Mathematical Finance, MATH 605 Stochastic Calculus, MATH 606 Term Structure Models, or permission of the instructor. This project course requires students to demonstrate attained mastery of the material studies in the prerequisite courses. Projects also extend students? knowledge of specific areas beyond that covered in earlier courses into areas such as particle filtering or optimization techniques for term structure model calibration. The aim is to broaden the students? classroom focus to the more unconstrained, open ended and less well defined contexts that are frequently encountered in practice.