Advanced Numerical Methods

The next course will take place: Tuesday 27 - Friday 30 November 2018

 

Syllabus

  • 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).

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.