Module code: MTH773P
Credits: 15.0
Semester: SEM2
Contact: Dr Michael Phillips
Prerequisite: Before taking this module, you must take MTH790P if you do not already have previous experience of c++ up to the level taught in that module. Furthermore, a knowledge of financial mathematics up to the level taught in MTH771P is required.
This is a follow-up course of 'Computational Methods in Finance'. Your knowledge of C++ will be further enhanced and further topics of interest in mathematical finance will be numerically investigated. An important topic for this module is the use of Monte Carlo simulations for pricing various types of options. The Black-Scholes theory and its connection with PDEs will be revisited in a numerical context. Moreover, at the end of this course you will also investigate models beyond the Black-Scholes theory, based on stochastic volatility, which touches current research.
Connected course(s): UDF DATA
Assessment: 100.0% Practical
Level: 7
