The course gives an introduction to the mathematical and computational techniques needed for quantitative finance.
The course has the following parts.
1) Monte Carlo Option Pricing: Numerical pricing of vanilla and exotic options, variance reduction techniques.
2) Term Structure Models: Basics of interest rate modelling, continuous time short rate models, pricing of interest rate and credit derivatives.
3) Risk Management: Basics of VAR modelling, Expected Shortfall computations.
4) Optimization in Finance: Markovitz portfolio optimization, basic asset liability management