Module 6: Advanced Numerical Methods

Syllabus

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
  • Computing trends and their significance for financial computing: This lecture will give an overview of current trends in computing (e.g. massively parallel computing, importance of energy efficiency, the rise of machine learning) and some of the software technologies quants need to be aware of (e.g. multi-threaded computing, vectorisation).
     

28 November - 1 December 2017

PDF icon M6 17_timetable_v2 - draft

Course Materials

 

 

Assignment

Assignment can be found under Course Materials.

Assignment template

Submit assignment.

 

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.