Financial Engineering Lab

Code: MA3262L | L-T-P-C: 0-0-3-3

This course will focus on computational aspects of the financial market models studied mainly in MA2271 Financial Engineering-I and MA3271 Financial Engineering-II such as CAPM, binomial models, Black-Scholes-Merton model, interest rate models and asset pricing based on above models. The implementation will be done using MATLAB/C++/R.

Texts:

• Y. Lyuu, Financial Engineering and Computation, Cambridge University Press, 2002.
• D. Higham, Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation, Cambridge University Press, 2004.

 

References:

• P. Glasserman, Monte Carlo Methods in Financial Engineering, Springer, 2004.