Ali Hirsa is Managing Partner at Sauma Capital, LLC. Previously he was a Partner and Head of Analytical Trading Strategy at Caspian Capital Management, LLC. Prior to joining Caspian, Ali worked in a variety of quant positions at Morgan Stanley, Banc of America Securities, and Prudential...
IEORE4732 Computational Methods in Derivatives Pricing
Instructor: Ali Hirsa
3-3 pts. Refer to course syllabus. Spring: Computational Methods in Derivatives Pricing, taught by A. Hirsa. This course introduces and applies various computational techniques in pricing derivatives and risk management. Among them are transform techniques, numerical solutions of partial differential equations (PDEs) and partial integro-differential equations (PIDEs) via finite differences, Monte-Carlo simulation techniques, calibration techniques, and parameter estimation and filtering techniques. The computational platform will be Java/C++. The primary application focus will be pricing of financial derivatives and calibration. These techniques are useful for various other problems in financial modeling and practical implementations from the theory of mathematical finance.