FINANCIAL ENGINEERING LAB

Code: MA472 | L-T-P-C: 0-0-3-3

This course will focus on implementation of the financial models such as CAPM, Binomial models, Black-Scholes model, Interest rate models and asset pricing based on above models studied in Financial Engineering-I and Financial Engineering -II. The implementation will be done using S-PLUS/MALAB/C++.

Texts:

1. Y. Lyuu, Financial Engineering and Computation, Cambridge Univ. Press, 2002.
2. P. Glasserman, Monte Carlo Methods in Financial Engineering, Springer, 2004.

References:

1. D. Higham, Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation, Cambridge Univ. Press, 2004.