Numerical Methods

The aim of the course is to provide a comprehensive and mathematically rigorous introduction to Monte Carlo and finite difference methods for pricing financial options and for evaluating their sensitivities to various input parameters.

At the end of the course, the student should have a thorough understanding of the basic theory behind Monte Carlo and finite difference methods, and be able to implement them in standard applications.

This course is elective. It is taught in the second semester and carries 6 ECTS credits. See the list of courses.

  • Essential Literature
  • P. Glasserman, Monte Carlo Methods in Financial Engineering, Springer-Verlag (2004).
  • D. J. Duffy, Finite Difference Methods in Financial Engineering: A Partial Differential Equations Approach, John Wiley & Sons (2013).
  • K. In't Hout, Numerical Partial Differential Equations in Finance Explained, Palgrave (2017).