46-904 Financial Computing IV

6 units, Carnegie Mellon University

The goal of this 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 the 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. Non-MSCF students may not take this course without written permission from the instructor. To be eligible, you must be a BSCF student or a graduate student enrolled in an MSCF participating college/department (Stats & Data Science, Tepper, Computer Science Dept., or Math Sciences). PhD students with relevant research may be eligible with the instructor's permission.

Prerequisites: 46-944 and 46-903

Offered: Fall 2026

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