Computational Finance
5 credits
Syllabus, Master's level, 1TD185
This course has been discontinued.
A revised version of the syllabus is available.
- Code
- 1TD185
- Education cycle
- Second cycle
- Main field(s) of study and in-depth level
- Computational Science A1F, Computer Science A1F, Financial Mathematics A1F
- Grading system
- Fail (U), Pass (3), Pass with credit (4), Pass with distinction (5)
- Finalised by
- The Faculty Board of Science and Technology, 27 August 2009
- Responsible department
- Department of Information Technology
Entry requirements
Financial Mathematics II and Scientific Computing II (1TD395) or Scientific Computing, Bridging Course, 10 credits.
Learning outcomes
After the course, the student should be able to
- solve stochastic differential equations within the field using Monte Carlo- och Monte Carlo-like methods
- solve partial differential equations within the field using finite difference methods,
- handle advanced software within the field,
- evaluate numerical results,
- interpret computed results
Content
The course contains different moments which are essential when practically working with computational finance in engineering and research. The content include Monte Carlo- and Monte Carlo-like methods, finite difference methods and the use of advanced software within the field. The course contains general parts, which all participants take, as well as a number of eligible modules. Thus, the course can partly be individually adjusted.
Assessment
Approved projects/assignments presented in written reports and orally in seminars.