|Course ID:||1000-1S08FO||Erasmus code / ISCED:||11.924 / (0619) Information and Communication Technologies (ICTs), not elsewhere classified|
|Course title:||Computational Finance||Name in Polish:||Finanse obliczeniowe|
|Department:||Faculty of Mathematics, Informatics, and Mechanics|
Seminars for Mathematics
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The goal of the seminar is to present main tools and techniques of computational finance. The leading subject is pricing of contingent claims.
The goal of the seminar is to present main tools and techniques of computational finance, such as Binomial trees, Monte Carlo simulations, PDE methods. These techniques are applied to pricing of contingent claims, ranging from vanilla options, to more complicated exotic, path-dependent options.
The seminar is organized around a number of computational projects, which every participant has to solve individually (up to presenting original computer code). The seminar is not oriented at teaching a particular computer language. The aim is to present and implement algorithms. Therefore, certain experience in computer programming can be necessary.
Prerequisites: Financial Engineering or equivalent
P. Glasserman, Monte Carlo Methods in Financial Engineering, Springer, 2004
J. London "Modeling Derivatives in C++", Wiley, 2005
R. Seydel "Tools for Computational Finance", Springer, (2nd ed.) 2004
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