Computational Financial Mathematics - FMA 645
The course includes
symbolic and numerical solutions of ODE’s,
solving Black-Scholes PDE symbolically,
generalized Black-Scholes formulas, implied
volatility, obstacle problems, steady state obstacle
problems, fast numerical solutions of obstacle
problems for Dupire PDE, Optimal portfolio rules,
and optimal portfolio hedging under general asset
price dynamics. Prerequisite: FMA 640.