Financial computation is the result of the interaction between financial economics, computer science, and mathematics. The course introduces algorithm analysis and complexity, financial mathematics concepts like time value of money, duration and convexity, static term structure of interest rates, and stochastic models with statistical inference. It also covers options and derivatives pricing. Key references include books on financial option valuation and financial engineering computation.
Financial computation is the result of the interaction between financial economics, computer science, and mathematics. The course introduces algorithm analysis and complexity, financial mathematics concepts like time value of money, duration and convexity, static term structure of interest rates, and stochastic models with statistical inference. It also covers options and derivatives pricing. Key references include books on financial option valuation and financial engineering computation.
Financial computation is the result of the interaction between financial economics, computer science, and mathematics. The course introduces algorithm analysis and complexity, financial mathematics concepts like time value of money, duration and convexity, static term structure of interest rates, and stochastic models with statistical inference. It also covers options and derivatives pricing. Key references include books on financial option valuation and financial engineering computation.
Financial computation is the result of the interaction between three disciplines:
financial economics (especially asset pricing), computer science (especially algorithms and software design), and mathematics (especially statistics and stochastic processes, which are often not considered parts of mathematics). Silabus: Sets the stage and surveys the evolution of computer technology. Introduces algorithm analysis and measures of complexity. Standard financial mathematics, starting from the time value of money. The important concepts of duration and convexity. The static term structure of interest rates. Stochastic models with coverage of statistical inference. Options and derivatives. Pustaka: Higham, D.J., 2004, An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation, Cambridge University Press. UK.