Course Page

Financial Computing IV

Course Number:

46904


Program

MSCF


Course Description

The goal of this course is to refresh and expand your knowledge of several important topics of the Master Program, such as Object Oriented Programming with C++, theory of pricing and hedging of derivative securities, numerical analysis and stochastic calculus. The course is
organized around a project of design and implementation of a powerful C++ library for pricing of derivative securities. You will learn important principles of implementation of financial models and master algorithms of evaluation of different types of derivative securities: European, American, standard, barrier and path dependent options on stocks and
interest rates. Prerequisite: Stochastic Calculus II, Financial Computing III 46-903.

Format

Lecture: 100min/wk and Recitation: 50min/wk


Pre-requisites

None