Finite difference methods for option pricing problems is an evergreen subject. It is an industry standard that is used extensively for the pricing of 1st generation exotics such as American and Bermudan options and barrier options. Over recent years finite difference methods have found new applications, including volatility surface generation, option market making and market risk modeling. All of this will be considered in this practical hands-on course.
This course is limited to 21 students, maximum of seven students per instructor.
Practical Hands-on Finite Difference by Jesper Andreasen, Brian Huge, Frederik Kryger-Baggesen
WHAT MAKES THIS COURSE DIFFERENT
- Learn about finite difference methods for option pricing from leading industry professionals.
- Hands-on course where participants code production grade finite difference solvers.
- Make abstract mathematical concepts concrete through numerical experiments.
- Lots of tips and tricks for practical implementation.
- Including what solver to use for different models: Black-Scholes, local volatility, yield curve models.
- And how to handle Americans, digitals, and barriers.
- Focus on code recycling and hygiene, and how to prepare, for example, for adjoint differentiation.
- Learn how to code an xll add-in C++ and how to debug.
- Maximum seven students per instructor.
- Introductionary video about installing C++ and the course project on your lap top.
- No special prerequisites are necessary.
- The teaching method is tried and tested on graduate students at Copenhagen University.
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