May 27, 2024  
2017-2018 Graduate Bulletin 
    
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2017-2018 Graduate Bulletin [ARCHIVED CATALOG]

MATH 5220 - Computational Methods in Finance

3
Prerequisite: MATH 5130  or permission of instructor;
Description:  This course covers comprehensively Monte-Carlo simulations for applications in finance.  Topics include generation of pseudo- and quasi-random numbers, trees, variance reduction techniques and finite differences.