Numerical MethodsUNIVERSITÀ DELLA SVIZZERA ITALIANA
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- Mendrisio (Svizzera)
This course develops foundations in handling problems arising in finance computationally. Starting from a quick review of programming and algo- rithms we investigate the theory behind numerical integration, differentiation, ordinary differential equations, Monte Carlo simulation, optimization, dynamic programming, and the Fourier transform. We put great emphasis on not only understanding the theoretical underpinnings, but foremost the actual implementation. Since the course makes use of advanced notions in finance, it is advisable to having taken Probability and Finance 2 prior to enrolling in Numerical Methods.