Dec 04, 2024  
University of Alberta Calendar 2022-2023 
    
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University of Alberta Calendar 2022-2023 [ARCHIVED CATALOG]

MATH 508 - Computational Finance

Course Career Graduate
Units 3
Approved Hours 3-0-0
Fee index 6
Faculty Science
Department Mathematical & Statistical Sci
Typically Offered either term

Description
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 FIN 654 or ECON 598 or consent of the Department. Note: This course may not be taken for credit if credit has already been obtained in MATH 408.