ME200 (Computational Methods in Financial Mathematics)

Contact

• Name: Domenico Mergoni
• Email: d.mergoni -at- lse.ac.uk
• Work: London School of Economics

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Course content (Official)

• Methods for generating samples from a given probability distribution,
• Monte Carlo estimation,
• Variance reduction techniques,
• The binomial asset pricing model and the concept of no-arbitrage,
• The Black-Scholes option pricing model as a limit of the binomial model,
• Application of Monte Carlo methods to pricing financial derivatives,
• Introduction to programming in Python,
• Introduction to option pricing with multiple periods in financial markets.

Lecture Notes

Please ask for lecture notes and solutions to the teachers of this course.