IE 525
Spring 2016 All Classes
All Classes
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.
Section Status updates every 10 minutes.
| CRN | Type | Section | Time | Day | Location | Instructor | Section Details | |
|---|---|---|---|---|---|---|---|---|
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54714
|
Lecture-Discussion
|
A
|
1:00PM
-2:40PM
|
MW
|
Transportation Building
|
Feng, L
|
|