IE 525 - Numerical Methods in Finance

Semesters Offered

Numerical Methods in FinanceIE525A54714LCD1300 - 1440 M W  106B1 Engineering Hall Alexandra Chronopoulou

Official Description

Numerical methods of the pricing and risk management of financial derivatives: Monte Carlo simulation; variance reduction techniques; quasi-Monte Carlo methods; finite difference methods for partial differential equations; time discretization schemes; free boundary problems for American options. Course Information: Prerequisite: FIN 500.

Course Description

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.


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