IAM611 NUMERICAL METHODS FOR FINANCIAL MODELS
Course Content
Numerical methods for discrete time models: Algorithms for option prices. algorithms for discrete time optimal control problems. Reminders on continuous models: Stochastic Calculus. option pricing and partial differential equations. dynamic portfolio optimization. Monte-Carlo methods for options: Convergence results. variance reduction. simulation of stochastic processes. computing the hedge. Monte-Carlo methods for pricing American options. Finite difference methods for option prices: numerical analysis of elliptic and parabolic Kolmogrov equations. computation of European and American option prices in the lognormal model. Finite difference methods for stochastic control problems: Markov Chain approximation method. elliptic Hamiltion-Jacobi-Bellman equations. computational methods.