Student, who passed the course satisfactorily will be able to:

• apply basic optimisation algorithms to portfolio management and optimisation problems
• approximately price simple as well as complex (exotic) options by Binomial method
• use the famous Black-Scholes pricing formulae for vanilla options that are European type
• simulate stochastic differential equations using Euler-Maruyama scheme
• price options by Monte Carlo approach with variance reduction techniques
• price European and American options using finite difference approximation for the underlying PDE
• understand basic principles of control problems