Baruch MFE - Financial Engineering Program

MTH 9852 Numerical Methods for Finance

3.0 Hours; 3.0 Credits

This course covers Monte Carlo methods, their convergence properties and variance reduction techniques, tree pricers and Greeks estimators, implied binomial trees and implied volatility trees, numerical integration techniques, and finite difference methods for pricing derivative securities, including their convergence properties.

Prerequisite: MTH 9814 and MTH 9821