Description
Instructor(s)/Supervisor(s)/Coordinator(s): Wei JIANGThe course covers some quantitative methods commonly used in financial engineering for modeling, analyzing, and solving basic financial engineering problems. The course will start with basic concepts in stochastic calculus and stochastic differential equations. These will be used to introduce some advanced stochastic models such as jump diffusion, regime-switching, and stochastic volatility models. In the final part, some numerical methods for derivatives pricing will be introduced.