Course details
Computational Methods in Financial Engineering
MATH 60609A
Although some theory is useful and necessary, including formal proofs, the emphasis is on problem solving and practical applications in finance, through either actual computer programming or the enlightened use of software. This material covered in this course spans from foundations (classical optimisation, solution of equation systems) to modern techniques (robust and conical optimisation, machine and reinforcement learning).
Themes covered
Systems of equations
Classical optimisation
Numerical integration
Robust optimisation
Conic optimisation
Approximate dynamic programming
Reinforcement learning
Stochastic gradient
Important notes
Course in French : MATH 60609
Course code
MATH 60609A
Subject
Mathématiques
Program
Maîtrise en gestion (M. Sc.)
Location
Côte-des-Neiges
Instruction mode
On-site learning
Credits
3