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.

Creator

• lin, zhipeng

Contributors

• Blais, Marcel Y.

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-050509-115331

Keyword

• monte carlo method
• finite difference method

Advisor

• Blais, Marcel Y.

Defense date

• 2009-05-05

Year

• 2009

Date created

• 2009-05-05

Resource type

• Report

Rights statement

• In Copyright

Last modified

• 2021-01-28