Worcester Polytechnic Institute Electronic Theses and Dissertations Collection

Title page for ETD etd-050509-115331


Document Typemasters report
Author Namelin, zhipeng
URNetd-050509-115331
TitleComputational Methods in Financial Mathematics Course Project
DegreeMS
DepartmentMathematical Sciences
Advisors
  • Marcel Blais, Advisor
  • Keywords
  • finite difference method
  • monte carlo method
  • Date of Presentation/Defense2009-05-05
    Availability unrestricted

    Abstract

    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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