Nov 23, 2024  
University of Alberta Calendar 2024-2025 
    
Catalog Navigation
  Calendar Home
  Academic Schedule
  Colleges and Faculties
  University Regulations
  Undergraduate Admissions
  Undergraduate Programs
  Graduate Admissions
  Graduate Regulations
  Graduate Programs
  Course Listings
  About the University
  About the Calendar
  Inquiries
HELP
University of Alberta Calendar 2024-2025

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.