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Mar 28, 2024
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ORIE 5630 - Computational Methods in Finance Fall. 3 credits.
Prerequisite: financial engineering M.Eng. students in Manhattan.
Staff.
Covers computational techniques such as binomial trees, solution of PDEs, and Monte Carlo simulation for pricing financial instruments such as European and American options, path-dependent options, and bonds. Other computational topics such as delta and gamma hedging, Value at Risk, and portfolio problems are also covered. The emphasis is on implementation.
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