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MATH408 - Computational Finance

Principles of Monte Carlo methods. Essentials of stochastics. Introduction to financial derivatives pricing. Generating random variables. Simulating stochastic differential equations. Application to financial derivatives pricing and interest rate models. Variance reduction techniques. Prerequisite: STAT 471, or E E 387 and consent of the Department.

Winter Term 2020

Lecture Sections

Winter Term 2020 - LEC X50 (95503)

R 17:30:00 - 20:30:00 (CAB 273)
Instructor: cfrei@ualberta.ca

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