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.
| Identifer | oai:union.ndltd.org:wpi.edu/oai:digitalcommons.wpi.edu:etd-theses-2191 |
| Date | 05 May 2009 |
| Creators | lin, zhipeng |
| Contributors | Marcel Y. Blais, Advisor, , |
| Publisher | Digital WPI |
| Source Sets | Worcester Polytechnic Institute |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | Masters Theses (All Theses, All Years) |
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