FMA 645
Computational Financial Mathematics
FMA · Faculty of Natural and Applied Sciences · 3 credits
Description
The course includes symbolic and numerical solutions of ODE’s, solving Black-Scholes PDE symbolically, generalized Black-Scholes formulas, implied volatility, obstacle problems, steady state obstacle problems, fast numerical solutions of obstacle problems for Dupire PDE, Optimal portfolio rules, and optimal portfolio hedging under general asset price dynamics.