Jun 01, 2025  
2023-2024 Graduate Bulletin 
    
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2023-2024 Graduate Bulletin [ARCHIVED CATALOG]

MATH 5820 - Computational Methods in Finance

Credit Hours 3
Prerequisite: MATH 5130  and MATH 5321  
Description: This course covers comprehensively Monte-Carlo simulations for applications in finance.  Topics include generation of pseudo- and quasi-random numbers, binomial option pricing models, Black Scholes option models, trees, variance reduction techniques, and finite differences.