Syllabus for Computational Finance: Pricing and Valuation
Finansiella beräkningsmetoder - prissättning och värdering
A revised version of the syllabus is available.
- 5 credits
- Course code: 1TD186
- Education cycle: Second cycle
Main field(s) of study and in-depth level:
Computer Science A1N,
Computational Science A1N,
Financial Mathematics A1N
- Grading system: Fail (U), Pass (3), Pass with credit (4), Pass with distinction (5)
- Established: 2014-03-13
- Established by: The Faculty Board of Science and Technology
- Applies from: Autumn 2014
Scientific Computing II, 5 credits, or Scientific Computing, Bridging Course, 5 credits. Financial Derivatives is recommended.
- Responsible department: Department of Information Technology
After the course, the student should be able to
- describe solution methodologies based on Finite differences, Monte Carlo methods and Lattice methods;
- describe similarities and differences in efficiency, convergence rate and complexity for the methods in previous item;
- implement solvers based on Monte Carlo and Finite differences for European financial derivatives in one space dimension;
- describe how solvers for more complex types of financial derivatives can be developed, and for higher grades implement these solvers;
- use advanced software for pricing of financial derivatives;
- appraise, interpret and discuss computational results both orally and in a written report;
- summarise a scientific paper in the computational finance area.
The course contains areas which are essential when practically dealing 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 in 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.
The software that is used is Front Arena and MATLAB.
Recorded web-based lectures, lectures, guest lectures, seminars, group supervision and laboratory work. Participants work in groups as well as on individual basis.
Assignments presented in written reports and orally in seminars.
- Latest syllabus (applies from Autumn 2023)
- Previous syllabus (applies from Autumn 2020)
- Previous syllabus (applies from Spring 2019)
- Previous syllabus (applies from Autumn 2014)
Applies from: Autumn 2014
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