Finance & Insurance
FINA 6337: Computational Methods in Finance
Lecture - 3 credits
- Studies various computational methods in finance.
- Analyzes market data and build trading strategies.
- Uses interpolation, solver, and optimization methods to calibrate discount curve and volatility surfaces to market prices.
- Analyzes market data and applies dimension-reduction techniques such as principal component analysis (PCA).
- Applies time-series analysis and PCA to implement and back test trading strategies.
Studies various computational methods in finance. Show more.