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Mar 28, 2024
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MTH 577 - Numerical Methods I(4 credits) Prerequisite(s): Grad course eligibility for undergraduates: credits earned greater than or equal
to 144 and gpa 2.75 OR level is graduate. Introduction to the numerical methods of financial derivatives. Topics include an overview of the basic concepts of mathematical finance, computational tools such as binomial methods, finite-difference methods, and methods for evaluating American options and Monte Carlo simulation. Numerical experiments are conducted using software such as Matlab, Microsoft Excel, and Maple, but no previous familiarity with these packages is assumed. Part one of a two-part sequence.
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