Numerical Methods
Implementing the theory introduced in FINM 33000 (Options), 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.
In-Person Program
Quarter: Spring
Instructor: Roger Lee
Concentration: Options and Derivatives
Syllabus
Online Program
Quarter: Spring 2026
Instructor: Roger Lee