IE 525

Spring 2011 Part of Term 1

Part of Term 1
Jan 18-May 4

Numerical Methods in Finance

Credit: 4 hours.

Numerical methods of the pricing and risk management of financial derivatives: Monte Carlo simulation; variance reduction techniques; quasi-Monte Carlo methods; finite difference methods for partial differential equations; time discretization schemes; free boundary problems for American options.

Prerequisite: FIN 500.

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IE 525 class schedule data for spring 2011
	CRN	Type	Section	Time	Day	Location	Instructor	Section Details
	54714	Lecture-Discussion	A	1:00PM -2:40PM	MW	Siebel Center for Comp Sci	Pang, J Zhou, E	Part of Term: 1 Date Range: 01/18/11-05/04/11 Restriction(s): Restricted to MS: Financial Engineering.