Document Type masters report Author Name lin, zhipeng URN etd-050509-115331 Title Computational Methods in Financial Mathematics Course Project Degree MS Department Mathematical Sciences Advisors Marcel Blais, Advisor Keywords finite difference method monte carlo method Date of Presentation/Defense 2009-05-05 Availability unrestricted
This course project is made up of two parts. Part one is an investigation and implementation of pricing of financial derivatives using numerical methods for the solution of partial differential equations. Part two is an introduction of Monte Carlo methods in financial engineering. The name of course is MA573:Computational Methods in Financial Mathematics, spring 2009, given by Professor Marcel Blais.
Files courseproject.pdf courseproject.rar
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