M6: Advanced Numerical Methods - 2012

Please note that in exceptional circumstances it may be necessary to cancel or alter a particular lecture, so that these details are subject to small variation.

Syllabus

• Finite differences
• Fourier methods
• Monte Carlo Greeks, multi-level
• Jumps [PIDEs], Asians, multigrid
• Monte Carlo case studies: variance reduction, Levy processes....
• Advanced Monte Carlo and QMC techniques
• Multi-factor problems, ADI, sparse grids, QMC, PCA
• Elementary Econometric Models
• Optimisation

Timetable

Register online for this module in 2012 as a SHORT COURSE - no longer available.  Please return later if you wish to attend this module in 2013.

Course Materials

Course Materials are only available to those registered to attend.