The expected outcomes are to

• identify suitable numerical methods for PDEs to valuate financial derivatives under different market models, such as Black-Scholes, Lévy and stochastic volatility models. •
• to apply their theoretical knowledge to implement algorithms for option pricing problems in Python/MATLAB. •
• to assess the accuracy of the implemented valuation routine based on a-priori error estimates for finite difference and finite element methods.
• to be able to model a simulation system using Monte Carlo.