- Kursusudbyder: Københavns Universitet
The course gives the student a thorough introduction to computational finance.
We will cover some of the following subjects:
- Rudimentary low-level programming.
- Data and computational resources at Copenhagen University and beyond.
- Monte Carlo simulation techniques in option pricing: Variance reduction, diffusion (and possibly Levy) process simulation, American options, adjoint techniques.
- Numerical transform methods for option pricing.
- Numerical optimization and model calibration.
- Numerical methods for solving parabolic partial differential equations.