Excerpt from course description

Advanced Computational Methods


This course covers advanced computational methods and their applications in finance and economics. These methods can be used for derivative pricing, asset pricing, macroeconomic simulation, and other pertinent applications in the industry, finance/economics academia, and central banks.

Course content

  • General numerical methods
  • Lattice/Tree method
  • Monte Carlo method
  • PDE approach in option pricing
  • Dynamic programming
  • Ethics and sustainability in quantitative finance


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