This course project is made up of two parts. Part one is an investigation and implementation of pricing of financial derivatives using numerical methods for the solution of partial differential equations. Part two is an introduction of Monte Carlo methods in financial engineering. The name of course is MA573:Computational Methods in Financial Mathematics, spring 2009, given by Professor Marcel Blais.
Worcester Polytechnic Institute
All authors have granted to WPI a nonexclusive royalty-free license to distribute copies of the work. Copyright is held by the author or authors, with all rights reserved, unless otherwise noted. If you have any questions, please contact email@example.com.
lin, zhipeng, "Computational Methods in Financial Mathematics Course Project" (2009). Masters Theses (All Theses, All Years). 1192.
finite difference method, monte carlo method