Mathematics 16:642:611 -
Computational Finance
Description
The course emphasizes the implementation of financial models
using C++ programming exercises, though Matlab and
Excel/Visual Basic may also be used, depending on instructor
preferences. Numerical methods employed to implement the models include
Monte Carlo simulation, finite difference solution of partial
differential equations, binomial and trinomial trees, and the fast Fourier transform (FFT).
Prerequisites
- At least one semester of finanical modeling (at the level
of John Hull's text book) and one semester of numerical analysis.
Textbooks
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Last
updated: October 16,
2005 © Paul
M N Feehan