Only a selection (based on lecturer and student interest) of the last three topics will be covered.
Skills
High- and low-level programming as fits the problem.
Extracting and handling financial data.
Effcient use computaional resources, both wrt. hardware (distributed computing) and software (error order analysis).
Ability to implement Monte Carlo simulation techniques (to investigate pricing and hedging) for a large range of financial products and models.
Ability to implement a (limited) number of more specialized methods for more specific models and problems.
Competencies
Proficieny classical and modern numerical methods for quantitative finance problems. This is a question of having both a sizeable "toolbox" and the ability pick the appropriate on in a given situation.
RadEditor - please enable JavaScript to use the rich text editor.
Publication of new courses All planned PhD courses at the PhD School are visible in the course catalogue. Courses are published regularly.