Computational Finance

Valuation of financial derivatives as a family of algorithmic computations, with analysis of the underlying financial model and hands-on implementation practice. Time value of money, arbitrage based pricing, risk-free portfolio, hedging, fundamentals of capital asset pricing model, collateralization, marking to market, margining, market risk, credit risk, netting, modeling stochastic behavior with Weiner processes, Itô's Lemma, the Black-Scholes-Merton model, volatility smiles, path-dependent and exotic derivatives.

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