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