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Numerical Methods for Economy and Finance
Engineering & Social Sciences Program
Madrid, Spain
Dates: 1/18/24 - 6/5/24
Numerical Methods for Economy and Finance
OVERVIEW
CEA CAPA Partner Institution: Universidad Carlos III de Madrid
Location: Madrid, Spain
Primary Subject Area: Mathematics
Instruction in: English
Course Code: 18288
Transcript Source: Partner Institution
Course Details: Level 400
Recommended Semester Credits: 3
Contact Hours: 42
Prerequisites: Linear Algebra (Year 1 - Semester 1)
Differential Calculus (Year 1 - Semester 1)
Programming (Year 1 - Semester 1)
Integral Calculus (Year 1 - Semester 2)
Numerical Methods (Year 2 - Semester 1)
Probability (Year 2 - Semester 2)
Ordinary differential equations (Year 3 - Semester 1)
DESCRIPTION
1. Stochastic integrals
2. Itô's calculus
3. Simulation of stochastic processes
4. Black-Scholes formula and risk neutral valuation
5. Numerical solution of stochastic differential equations
6. Unconstrained nonlinear optimization
7. Constrained nonlinear optimization
2. Itô's calculus
3. Simulation of stochastic processes
4. Black-Scholes formula and risk neutral valuation
5. Numerical solution of stochastic differential equations
6. Unconstrained nonlinear optimization
7. Constrained nonlinear optimization