Faculty Advisor or Committee Member

Marcel Blais, Advisor

Identifier

etd-050509-115331

Abstract

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.

Publisher

Worcester Polytechnic Institute

Degree Name

MS

Department

Mathematical Sciences

Project Type

Thesis

Date Accepted

2009-05-05

Accessibility

Unrestricted

Subjects

finite difference method, monte carlo method

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