Spring 2023 Mathematics GR5030 section 002

NUMERICAL METHODS IN FINANCE

NUMERICAL METHODS IN FINA

Call Number 14172
Day & Time
Location
MW 5:40pm-6:55pm
330 Uris Hall
Points 3
Grading Mode Standard
Approvals Required None
Instructor Luca Capriotti
Type LECTURE
Method of Instruction In-Person
Course Description Prerequisites: some familiarity with the basic principles of partial differential equations, probability and stochastic processes, and of mathematical finance as provided, e.g. in MATH W5010. Prerequisites: some familiarity with the basic principles of partial differential equations, probability and stochastic processes, and of mathematical finance as provided, e.g. in MATH W5010. Review of the basic numerical methods for partial differential equations, variational inequalities and free-boundary problems. Numerical methods for solving stochastic differential equations; random number generation, Monte Carlo techniques for evaluating path-integrals, numerical techniques for the valuation of American, path-dependent and barrier options.
Web Site Vergil
Department Mathematics
Enrollment 52 students (60 max) as of 10:05AM Friday, March 29, 2024
Subject Mathematics
Number GR5030
Section 002
Division Graduate School of Arts and Sciences
Open To GSAS
Campus Morningside
Note MAFN Students ONLY. Open to STATS 1/9. Open to Univ. 1/17
Section key 20231MATH5030G002