Course details
Numerical Methods in Quantitative Finance
MATH 80614A
The course presents a variety of digital methods applied to pricing and risk management. It covers both traditional approaches and the most recent developments.
The course is designed for the study of numerical methods in finance, with an emphasis on numerical methods for the pricing of contingent claims. The reading material covers earlier developments as well as current research issues. Some of the material will be presented in class by the instructors. However, the course will generally involve presentations and discussions of the assigned readings by the students.
Themes covered
Monte Carlo simulation
Solution of partial differential equations
Fourier Transform
Filtering and estimation of latent variables
Artificial intelligence
Risk measures
Course code
MATH 80614A
Subject
Mathematics
Program
PhD
Location
Côte-des-Neiges
Instruction mode
On-site learning
Credits
3