FINANCIAL ENGINEERING LABORATORY

Code: MA374 | L-T-P-C: 0-0-3-3

Prerequisites: MA271 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:

1. Y. Lyuu, Financial Engineering and Computation, Cambridge University Press, 2002.
2. D. Higham, Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation, Cambridge University Press, 2004.

References:

1. P. Glasserman, Monte Carlo Methods in Financial Engineering, Springer, 2004