May 21, 2024  
Rensselaer Catalog 2009-2010 
Rensselaer Catalog 2009-2010 [Archived Catalog]

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MATH 6740 - Financial Mathematics and Simulation

This course is the second mathematical and computational finance course in a new one-year sequence for mathematics, DSES and engineering majors, and graduate students. It will cover the basics of stochastic processes, and current methods in the simulation of stochastic problems such as Monte Carlo algorithms and variance reduction tools. It will also focus on teaching the application of these stochastic simulation methods to finance.

Prerequisites/Corequisites: Prerequisite: MATH 4740.

When Offered: Spring term.

Credit Hours: 4

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