Numerical Methods in Finance: Contents

This course introduces the major numerical methods needed for quantitative work in finance. To this avail, the course will strike a balance between a general survey of significant numerical methods anyone working in a quantitative field should know, and a detailed study of some numerical methods specific to financial mathematics. In the first part the course will cover e.g. linear and nonlinear equations, interpolation and optimization, while the second part introduces e.g. binomial and trinomial methods, finite difference methods, Monte-Carlo simulation, random number generators, option pricing and hedging. The assessment consists of 80% an exam and 20% a project.