Number: 46904
Title: Financial Computing IV
Concentration: Required
Prerequisites: 46950 - Numerical Methods AND 46903 - Financial Computing III AND 46901 - Financial Computing I AND 46902 - Financial Computing II
Description: The goal of this course is to refresh and expand your knowledge of several important topics of the Master Program, such as Object Oriented Programming with C++, theory of pricing and hedging of derivative securities, numerical analysis and stochastic calculus. The course is organized around a project of design and implementation of a powerful C++ library for pricing of derivative securities. You will learn important principles of implementation of financial models and master algorithms of evaluation of different types of derivative securities: European, American, standard, barrier and path dependent options on stocks and interest rates. Prerequisite: Numerical Methods 46-950, Term Structure 46-948, Financial Computing I 46901, Financial Computing II 46902 and Financial Computing III 46903.