This course covers the advanced computational methods and their applications in Finance. It starts with the lattice methods and then moves to Monte Carlo simulation and dynamic programming. It finishes with an introduction to C++ or Python programming. These methods will be applied on both standard and exotic derivative instruments and other Finance applications with emphasis on the appropriate methods for each.
- Ethics and sustainability in quantitative finance
- Basic concepts in numerical methods
- Lattice/Tree methods
- Binomial and trinomial one-dimensional trees for geometric Brownian motion
- Recombining trees for mean-reverting processes
- Trees for higher dimensional processes
- Pricing vanilla options: European and American options
- Pricing exotic options: Asian options, barrier options, swing options (if time allows), etc
- Simulating dynamics of returns
- Variance reduction
- Valuation through simulation: energy projects, MBS baskets, etc.
- Dynamic programming (if time allows)
- Introduction to C++ or Python programming (if time allows)
This is an excerpt from the complete course description for the course. If you are an active student at BI, you can find the complete course descriptions with information on eg. learning goals, learning process, curriculum and exam at portal.bi.no. We reserve the right to make changes to this description.