May 09, 2025  
Rensselaer Catalog 2015-2016 
    
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Rensselaer Catalog 2015-2016 [Archived Catalog]

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MGMT 6510 - Financial Computation

This course introduces computational techniques for financial analysis, with foci on risk, hedging and portfolio techniques, fixed income instruments, and derivatives analysis. The course covers computational techniques for portfolio optimization, plain vanilla and exotic derivatives valuation and replication, along with interest rate and fixed income instruments. This course will introduce numerical analysis, interpolation, Monte Carlo and finite difference methods, lattices, linear and dynamic programming, optimization and MATLAB, all in a financial computational context.

Prerequisites/Corequisites: MGMT 4040 or undergraduate courses in statistics and calculus.

When Offered: Fall term annually.



Credit Hours: 3


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