Call Number | 12380 |
---|---|
Day & Time Location |
F 6:10pm-8:00pm 417 Mathematics Building |
Points | 3 |
Grading Mode | Standard |
Approvals Required | Instructor |
Instructor | Ka-Yi Ng |
Type | LECTURE |
Method of Instruction | In-Person |
Course Description | This course covers programming with applications to finance. The applications may include such topics as yield curve building and calibration, short rate models, Libor market models, Monte Carlo simulation, valuation of financial instruments such as options, swaptions and variance swaps, and risk measurement and management, among others. Students will learn about the underlying theory, learn coding techniques, and get hands-on experience in implementing financial models and systems. |
Web Site | Vergil |
Department | Mathematics |
Enrollment | 40 students (60 max) as of 3:06PM Sunday, December 8, 2024 |
Subject | Mathematics |
Number | GR5260 |
Section | 001 |
Division | Graduate School of Arts and Sciences |
Open To | GSAS |
Note | Priority to MAFN. Open to STATS 1/8. Open to Univ. 1/15 |
Section key | 20241MATH5260G001 |