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MATH583

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Computational Finance

Dept of Math & Stats SC - Faculty of Science

Subject

MATH - Mathematics

Description

Review of financial asset price and option valuation models; model calibration; tree-based methods; finite-difference methods; Monte Carlo simulation; Fourier methods.

Prerequisite(s): Mathematics 383, 413 and 493.

Antirequisite(s): Credit for Mathematics 583 and 683 will not be allowed.

Also known as: (formerly Applied Mathematics 583)

Course Attributes

Fee Rate Group(Domestic) - A, Fee Rate Group(International) -A, GFC Hours (3-0), RCS Related

Courses may consist of a Lecture, Lab, Tutorial, and/or Seminar. Students will be required to register in each component that is required for the course as indicated in the schedule of classes. Practicums, internships or other experiential learning modalities are typically indicated as a Lab component.

Component

LEC

Units

3

Repeat for Credit

No

Subject code

MATH
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