Advanced Topics in Computational Finance

6 EC

Semester 1, period 2

5284COFA6Y

Owner Master Computational Science (joint degree)
Coordinator prof. dr. Drona Kandhai
Part of Master Computational Science (Joint Degree), Master Stochastics and Financial Mathematics, specialization Data Analysis and Statistics, year 1Master Stochastics and Financial Mathematics, specialization Financial Mathematics, year 1Master Stochastics and Financial Mathematics, specialisation Probability and Decision Making, year 1
Links Visible Learning Trajectories

Course manual 2025/2026

Course content

A project focusing on the numerical implementation and analysis of an advanced computational method  will be carried out. Some examples of projects done in previous years:

  • Copula methods for the valuation of spread options;
  • Quasi Mont-Carlo methods for barrier options;
  • GPU computing for exotic options and financial risk management;
  • Wrong-way risk modeling for credit valuation adjustment;
  •  Agent-based models for financial markets complexity;
  • Fourier based methods for option pricing;

Study materials

Other

  • Papers and book chapters depending on the subject.

Objectives

  • In this course students will further develop on the knowledge gained in the computational finance course by numerical and mathematical analysis of advanced computational methods and models. Topics include xVA modeling and computational methods, stochastic models with memory and application of complex system science and Machine Learning methods to Finance.

Teaching methods

    Project based course.

    Learning activities

    Activity

    Number of hours

    Zelfstudie

    168

    Attendance

    This programme does not have requirements concerning attendance (Ter part B).

    Assessment

    Item and weight Details

    Final grade

    Fraud and plagiarism

    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

    Course structure

    Weeknummer Onderwerpen Studiestof
    1
    2
    3
    4
    5
    6
    7
    8

    Additional information

    Recommended prior knowledge: successful completion of the computational finance course, good understanding of numerical and stochastic simulations methods and programming in high-level languages or matlab/mathematica.

    Contact information

    Coordinator

    • prof. dr. Drona Kandhai