6 EC
Semester 2, period 4
5284COFI6Y
Many models used in finance end up in formulation of highly mathematical problems. Solving these equations exactly in closed form is impossible as the experience in other fields suggests. Therefore, we have to look for efficient numerical algorithms in solving complex problems such as option pricing, risk analysis, portfolio management, etc.
Computational finance, generally referring to the application of computational techniques to finance, has become an integral part of modeling, analysis, and decision-making in the financial industry. In this course an introduction will be given to the theory of derivative pricing. Several computational approaches such as Monte Carlo methods, lattice methods, and numerical PDE (Partial Differential Equation) techniques will be covered. The application of these algorithms on distributed computing architectures will be outlined.
Lectures and practical training
Activity | Number of hours |
Computerpracticum | 30 |
Hoorcollege | 30 |
Zelfstudie | 108 |
This programme does not have requirements concerning attendance (Ter part B).
| Item and weight | Details |
|
Final grade | |
|
1 (20%) Assignment 1 | |
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1 (20%) Assignment 2 | |
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1 (20%) Assignment 3 | |
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2 (40%) Exam | Must be ≥ 5 |
The 'Regulations governing fraud and plagiarism for UvA students' applies to this course. This will be monitored carefully. Upon suspicion of fraud or plagiarism the Examinations Board of the programme will be informed. For the 'Regulations governing fraud and plagiarism for UvA students' see: www.student.uva.nl
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Recommended prior knowledge: Basic programming skills and mathematics (calculus and probability theory).