Il corso è tenuto in inglese
This course develops foundations in handling problems arising in finance computationally. Starting from a quick review of programming and algo- rithms we investigate the theory behind numerical integration, differentiation, ordinary differential equations, Monte Carlo simulation, optimization, dynamic programming, and the Fourier transform. We put great emphasis on understanding the theoretical underpinnings, and in particular the actual implementation. The course makes use of advanced notions in finance. It is therefore advisable to having taken Probability and Finance 1&2 prior to enrolling in Numerical Methods.