This course focuses on pricing derivatives, but some topics of risk management are also covered. Whereas the Mathematical Finance Math 358 course shows the student how to price instruments using closed-form (analytical) formulae, this course focuses on the instruments that can be best analyzed with numerical methods: structured loans, mortgage-backed securities, …Topics include binomial and trinomial tree (lattice), finite differences, Monte Carlo simulation, and an introduction to copulae. Prerequisites:
Math 251 and Math 256. This class complements Math 358, but can be taken at the same time as Math 358.