25852 Numerical Analysis for Quantitative Finance6cp
Requisite(s): 25851 Mathematical Finance
These requisites may not apply to students in certain courses. See access conditions.
This subject presents various numerical methods used in quantitative finance. It provides a rigorous understanding of advanced numerical, statistical and filtering methods. Emphasis is on simulation methods for solving stochastic differential equations, their systematic application and their links to finite difference and other numerical methods.
Detailed subject description.