46-772 Financial Computing

0 units, Carnegie Mellon University

The goal of the course is to refresh and expand your knowledge of several important topics of the Master Program, such as object oriented programming with C++, theory of pricing and hedging of derivative securities, numerical analysis and stochastic calculus. The course is organized around a project of design and implementation of a powerful C++ library for pricing of derivative securities. You will learn important principles of implementation of financial models and master algorithms of evaluation of different types of derivative securities: European, American, standard, barrier and path dependent options on stocks and interest rates. Course Materials - available through Carnegie Mellons Office of Technology Education blackboard website. Access to this website will be provided at the network orientation.

Prerequisites: none listed

Offered: Summer 2026

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