Apr 24, 2024  
University of Alberta Calendar 2019-2020 
    
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University of Alberta Calendar 2019-2020 [ARCHIVED CATALOG]

MATH 408 - Computational Finance

★ 3 (fi 6) (either term, 3-0-0) Principles of Monte Carlo methods. Essentials of stochastics. Introduction to financial derivatives pricing. Generating random variables. Simulating stochastic differential equations. Application to financial derivatives pricing and interest rate models. Variance reduction techniques. Prerequisite: STAT 471, or E E 387 and consent of the Department.