Earlier this week, I had the pleasure to participate in the 5th International Conference on Mathematical Modelling by giving a 4 hours course/workshop titled “A Short Introduction to Monte Carlo Methods in Financial Mathematics”. All the course materials (slides and Jupyter notebooks) can be found in my Github repository ICMM.
The course was aimed to undergraduate Mathematic students and general audience interested on Financial Mathematics. The general objectives of the workshop were:
- Get students interested on financial mathematics and maybe even on pursuing a career as a Quant after graduating or after finishing postgraduate education.
- Show them the type of problems that Quants encounter in their jobs as well as the kind of mathematical tools that are required to solve them. In particular, we aimed to price an European option under the Black-Scholes model by two methods: obtaining the analytical formula, and using Monte Carlo.
- Illustrate how mathematical concepts are translated into code in Python
It was a pleasure to be able to be back — at least remotely, thanks Zoom — at my former university and see how the Maths community in Oaxaca, Mexico is growing and full of highly motivated students.
