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Numerical Methods for Economy and Finance Business, Management & Finance Program Spring 2025 Semester - Madrid

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Numerical Methods for Economy and Finance

Numerical Methods for Economy and Finance Course Overview


CEA CAPA Partner Institution: Universidad Carlos III de Madrid
Location: Madrid, Spain
Primary Subject Area: Mathematics
Instruction in: English
Course Code: 18288
Transcript Source: Partner Institution
Course Details: Level 400
Recommended Semester Credits: 3
Contact Hours: 42
Prerequisites: Linear Algebra (Year 1 - Semester 1) Differential Calculus (Year 1 - Semester 1) Programming (Year 1 - Semester 1) Integral Calculus (Year 1 - Semester 2) Numerical Methods (Year 2 - Semester 1) Probability (Year 2 - Semester 2) Ordinary differential equations (Year 3 - Semester 1)


1. Stochastic integrals
2. Itô's calculus
3. Simulation of stochastic processes
4. Black-Scholes formula and risk neutral valuation
5. Numerical solution of stochastic differential equations
6. Unconstrained nonlinear optimization
7. Constrained nonlinear optimization

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