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• Fixed-Income Securities, Portfolio Management, and Mean-Variance Portfolio Optimization; Options and the No-Arbitrage Principle; Binomial Model, Valuation of European and American Options; Stochastic Integral and the Ito Lemma, Applications, Derivation and Solution of the Black-Scholes Equation and the Greeks; Pseudo-Random Numbers, Transformation of Random Variables, Generating Normal and Other Variates, Box-Muller and Marsaglia Methods; Option Pricing by Monte Carlo Simulations, Variance Reduction Techniques, and the Quasi-Monte Carlo Simulations; Finite Difference Methods for Solving Partial Differential Equations; Explicit, Implicit, and the Crank-Nicolson Methods for the Heat Equation and the Black-Scholes Equation, and the Relations to Tree Methods; Pricing European and American Options by Partial Differential Equations, and the Projected SOR Method.

Select Guide Rating

• Fixed-Income Securities, Portfolio Management, and Mean-Variance Portfolio Optimization; Options and the No-Arbitrage Principle; Binomial Model, Valuation of European and American Options; Stochastic Integral and the Ito Lemma, Applications, Derivation and Solution of the Black-Scholes Equation and the Greeks; Pseudo-Random Numbers, Transformation of Random Variables, Generating Normal and Other Variates, Box-Muller and Marsaglia Methods; Option Pricing by Monte Carlo Simulations, Variance Reduction Techniques, and the Quasi-Monte Carlo Simulations; Finite Difference Methods for Solving Partial Differential Equations; Explicit, Implicit, and the Crank-Nicolson Methods for the Heat Equation and the Black-Scholes Equation, and the Relations to Tree Methods; Pricing European and American Options by Partial Differential Equations, and the Projected SOR Method.

Select Guide Rating

• Fixed-Income Securities, Portfolio Management, and Mean-Variance Portfolio Optimization; Options and the No-Arbitrage Principle; Binomial Model, Valuation of European and American Options; Stochastic Integral and the Ito Lemma, Applications, Derivation and Solution of the Black-Scholes Equation and the Greeks; Pseudo-Random Numbers, Transformation of Random Variables, Generating Normal and Other Variates, Box-Muller and Marsaglia Methods; Option Pricing by Monte Carlo Simulations, Variance Reduction Techniques, and the Quasi-Monte Carlo Simulations; Finite Difference Methods for Solving Partial Differential Equations; Explicit, Implicit, and the Crank-Nicolson Methods for the Heat Equation and the Black-Scholes Equation, and the Relations to Tree Methods; Pricing European and American Options by Partial Differential Equations, and the Projected SOR Method.