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Computational Finance

General data

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
Course groups: Seminars for Mathematics
ECTS credit allocation (and other scores): (not available)
view allocation of credits
Language: English
Type of course:

elective seminars

Short description:

The goal of the seminar is to present main tools and techniques of computational finance. The leading subject is pricing of contingent claims.

Full description:

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

Bibliography:

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

This course is not currently offered.
Course descriptions are protected by copyright.
Copyright by University of Warsaw.