2020-2021 Academic Catalog 
    
    Apr 19, 2024  
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2020-2021 Academic Catalog [ARCHIVED CATALOG]

FIN 5216 - Computational Finance

Modern-day finance is rife with computationally intensive problems and solutions from pricing derivative instruments to complex portfolio building using optimization techniques. This course supplies students with the intuitions for the underlying mathematical concepts behind common financial applications. Furthermore, students learn the skills to develop their own solutions to variant of these applications with emphasis put on the generalizability of the results reviewed. Starting with binomial models as a stepping-stone, this course discusses the main tools applied to derivative valuation and their extension to continuous time pricing. It also considers common numerical methods utilized in financial engineering such as Monte Carlo simulation. The course ends with a review of common optimization tools and their application to portfolio building under constraints.

 

Prerequisites: FIN 5309  

Anticipated Terms Offered: Offered Annually
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