First
Semester of Academic Year 2012-2013
MA 472 Financial Engineering Lab
Syllabus
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 C++/MATLAB/S-Plus.
Texts:
- Y. Lyuu,
Financial Engineering and Computation,
Cambridge University Press, 2002.
- P. Glasserman,
Monte Carlo Methods in Financial Engineering,
Springer, 2004.
References:
- D. Higham,
Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation,
Cambridge University Press, 2004.
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