Topics in Computational Finance: 3 semester hours

Catalog description

This course expands students’ knowledge about stochastic processes and stochastic differential equations (SDE) introduced in MATH 4330 . Students will learn how to price options using Fourier Transformation and Monte Carlo methods. Students will complete several small projects programmed in Python. The projects will allow students to explore the covered topics further and in depth. Prerequisites: MATH 4330 .