Second
Semester of Academic Year 2022-2023
MA 374 Financial Engineering Lab
Syllabus
Pre-requisite: MA 271 (Financial Engineering I) or equivalent
This course will focus on computational aspects of the financial market models studied in MA271 and MA373 such as CAPM, binomial models, Black-Scholes-Merton model, interest rate models and asset pricing based on above models. The implementation will be done using MATLAB/C++/R.
Texts:
- Y. Lyuu,
Financial Engineering and Computation,
Cambridge University Press, 2002.
- D. Higham,
Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation,
Cambridge University Press, 2004.
References:
- P. Glasserman,
Monte Carlo Methods in Financial Engineering,
Springer, 2004.
Back to MA 374 webpage