- Lecturer: Mike Giles
Course Term: Michaelmas
Course Lecture Information: 16 hours of lectures in MT
Course Overview:
This course gives a comprehensive introduction to Monte Carlo and finite difference methods for pricing financial options, and evaluating their sensitivities to various input parameters. At the end of the course, the student should have a thorough understanding of the basic theory behind Monte Carlo and finite difference methods, and be able to implement them for standard applications.