Course
Computational Finance (UvA, course code 6314M0350Y)
-
Teacher(s)Florian Peters
-
Research fieldFinance
-
DatesPeriod 2 - Oct 30, 2023 to Dec 22, 2023
-
Course typeField
-
Program yearSecond
-
Credits3
Course description
This course is provided by our partner: See the UvA course catalogue. Please check the exact dates for this course and how to register. UvA course code 6314M0350Y
The following topics will be covered, along with their implementation in Python:
- programming basics (control flow, data types, the Python ecosystem);
- handling data (obtaining data, data-frames, regressions, plotting);
- basics of risk management (Value at Risk);
- derivatives pricing (binomial trees, Monte Carlo simulation, model calibration);
- advanced topics in derivative pricing.
Course literature
- Lecture notes and other course material will be made available on Canvas;
- The Anaconda Python distribution (open source software and free);