Advanced Computational Methods

Introduction

This course covers advanced computational methods and their applications in finance and economics. These methods can be used for derivative pricing, asset pricing, macroeconomic simulation, and other pertinent applications in the industry, and finance/economics academia.

Course content

• Reproducible workflows in Julia
• Root finding, approximation, numerical differentiation
• Numerical linear algebra, least squares, ridge, cross-validation, and gradient descent
• Monte Carlo pricing and risk estimation; variance reduction
• Markov Chain Monte Carlo (MCMC)
• Trading applications: Long/short strategies
• Risk: VaR/ES estimation
• Machine learning for pricing

Disclaimer

This is an excerpt from the complete course description for the course. If you are an active student at BI, you can find the complete course descriptions with information on eg. learning goals, learning process, curriculum and exam at portal.bi.no. We reserve the right to make changes to this description.