IE 525 - Numerical Methods in Finance
|Numerical Methods in Finance||IE525||A||54714||LCD||1300 - 1440||M W||106B1 Engineering Hall||Alexandra Chronopoulou|
The course focuses on numerical methods for modeling, pricing and risk management of financial instruments, including derivatives. It covers deterministic methods, such as finite difference methods for ordinary and partial differential equations, explicit and implicit schemes, and free boundary problems for American options. It also examines stochastic methods, such as randomization and anti-gaming, Monte Carlo simulation, including variance reduction and quasi-Monte Carlo. It also studies data-driven financial model calibration and optimization, financial data pattern analysis and synthesis, filtering and machine learning, analytics in high-frequency data environment. Prerequisite: FIN 500.