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Computational Finance - MATH

Course provider

Københavns Universitet

Location

  • Copenhagen

Description

The course gives the student a thorough introduction to computational finance.

We will cover some of the following subjects:
- Rudimentary low-level programming.
- Data and computational resources at Copenhagen University and beyond.
- Monte Carlo simulation techniques in option pricing: Variance reduction, diffusion (and possibly Levy) process simulation, American options, adjoint techniques.
- Numerical transform methods for option pricing.
- Numerical optimization and model calibration.
- Numerical methods for solving parabolic partial differential equations.

Københavns Universitet

Practical information

Course provider

Københavns Universitet

Location

  • Copenhagen

Course provider contact information

Contact the study administration
E-mail: efteruddannelse@science.ku.dk
Tel.:35 33 35 33

Course language

English

Deadline

March 20, 2023

Course duration

We cannot specify the duration of the course, but go to the course providers to read more.

Københavns Universitet

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