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.
- Finite differences: HJB equations and multi-dimensional problems
- Calibration of derivative pricing models
- Advanced Monte Carlo techniques: Longstaff-Schwartz regression for Bermudan/American options, randomised Quasi-Monte Carlo for more accurate estimation, computing Greeks by bumping, Likelihood Ratio method, and pathwise sensitivities;
- Elementary econometric models
- Financial computing using Python and software libraries
- Learning basic statistical concepts, such as regression and maximum likelihood. Always with a very practical and computational focus.
29 November - 2 December 2016
Assignment can be found under Course Materials.
Short Course option
If you are wishing to take the next Advanced Numerical Methods module as a short course, registration will open over the summer and closes one week before the start of the course.