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Numerical Methods In Finance
MATH G6071y
Credits:4.5 pts.
Prerequisites: some familiarity with the basic principles of partial differential equations, probability and stochastic processes, and of mathematical finance as provided, e.g., in Mathematics W4071. Review of the basic numerical methods for partial differential equations, variational inequalities and free-boundary problems. Numerical methods for solving stochastic differential equations; random number generation, Monte Carlo techniques for evaluating path-integrals, numerical techniques for the valuation of American, path-dependent and barrier options.
Course Sections
Section Number:
001
Call Number:
88596
Course Number:
6071
Section Title:
NUMERICAL METHODS IN FINA
Day/Time:
MW 7:40p - 8:55p
TBA
Course Bulletin: http://www.columbia.edu/cu/bulletin/uwb/subj/MATH/G6071-20091-001
Instructor: Instructor To Be Announced
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