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MATH508 - 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 FIN 654 or ECON 598 or consent of the Department. Note: This course may not be taken for credit if credit has already been obtained in MATH 408.

Winter Term 2018

Lecture Sections

Winter Term 2018 - LEC X50 (95234)

R 17:30:00 - 20:30:00 (CAB 269)
Instructor: cfrei@ualberta.ca - Profile

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