Course Information

Course Code:
Course Number:
Code Course Name Language Type
MAT 472E Computational Finance English Elective
Local Credits ECTS Theoretical Tutorial Laboratory
3 6 3 0 0
Course Prerequisites and Class Restriction
Prerequisites MAT 471 MIN DD
or MAT 471E MIN DD
Class Restriction None
Course Description
This is an introductory course for basic computational methods and theorems to solve various problems in mathematical finance. Implementation of basic stochastic processes, Monte-Carlo simulation to approximate European, American and Asian option prices, variance reduction techniques, and computational application of Black-Scholes model are covered. A significant part of the coursework requires programming in a high-level language.

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