FINM 32000

Options: Numerical Methods

Spring Quarter
Instructor: Roger Lee

Implementing the theory introduced in Mathematical Foundations of Option Pricing (FINM 33000), this course takes a numerical/computational approach to the pricing and hedging of financial derivatives.  Topics include: Trees as diffusion approximations; Finite difference methods for PDE solution; Monte Carlo methods for simulation; Fourier transform methods for pricing.

This course counts towards the Options and Derivatives concentration.