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3236 L 371 Computational Finance

The course is taught jointly by: The lectures take place on: Exam Dates: Doodle calendar

Course description and outline: PDF

Lecture notes: PDF [an updated version: PDF]

Slides of the introductory lecture: PDF

Programming exercises
Code
Literature
Mathematical Finance
Computational Finance
Lévy processes
Affine processes
Fourier methods for option pricing
Interesting readings