Synopsis for Financial Computing with C++ (Part II)
Course Description
Financial Computing with C++ - Prof D Kramkov - in or shortly after TT
The goal of this course is to refresh and expand knowledge of several important topics of the MSc, such as Object Oriented Programming with C++, theory of pricing and hedging of derivative securities, numerical analysis and stochastic calculus. The course is organized around a project for the design and implementation of a powerful C++ library for pricing of derivative securities. The students will learn important principles of implementation of nancial models and master algorithms of evaluation of di erent types of derivative securities: European, American, standard, barrier and path dependent options on stocks and interest rates. The course will be organised in 8 three-hour sessions. All course materials will be supplied.
The goal of this course is to refresh and expand knowledge of several important topics of the MSc, such as Object Oriented Programming with C++, theory of pricing and hedging of derivative securities, numerical analysis and stochastic calculus. The course is organized around a project for the design and implementation of a powerful C++ library for pricing of derivative securities. The students will learn important principles of implementation of nancial models and master algorithms of evaluation of di erent types of derivative securities: European, American, standard, barrier and path dependent options on stocks and interest rates. The course will be organised in 8 three-hour sessions. All course materials will be supplied.
Reading List
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Last updated by Lajos Gergely Gyurko on Fri, 12/04/2013 - 10:23am.
This page is maintained by Waldemar Schlackow. Please use the contact form for feedback and comments.
This page is maintained by Waldemar Schlackow. Please use the contact form for feedback and comments.