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Course# FIN-472: Computational finance

Summary

Participants of this course will master computational techniques frequently used in mathematical finance applications. Emphasis will be put on the implementation and practical aspects.

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Instructors

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Instructors (2)

Related concepts (92)

Stochastic process

In probability theory and related fields, a stochastic (stəˈkæstɪk) or random process is a mathematical object usually defined as a sequence of random variables, where the index of the sequence has

Density functional theory

Density-functional theory (DFT) is a computational quantum mechanical modelling method used in physics, chemistry and materials science to investigate the electronic structure (or nuclear structure) (

Brownian motion

Brownian motion is the random motion of particles suspended in a medium (a liquid or a gas).
This motion pattern typically consists of random fluctuations in a particle's position inside a fluid s

Monte Carlo method

Monte Carlo methods, or Monte Carlo experiments, are a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results. The underlying concept is to use rando

Stochastic calculus

Stochastic calculus is a branch of mathematics that operates on stochastic processes. It allows a consistent theory of integration to be defined for integrals of stochastic processes with respect to s

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Lectures in this course (49)