Advanced Computing in Finance

Module code: MTH773U

Credits: 15.0
Semester: SEM2

Contact: Dr Michael Phillips

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