CM 476 Numeric Computation for Financial ModelingComputational Mathematics (2009-2010)
The interaction of financial models, numerical methods, and computing environments. Basic computational aspects of option pricing and hedging. Numerical methods for stochastic differential equations, strong and weak convergence. Generating correlated random numbers. Time-stepping methods. Finite difference methods for the Black-Scholes equation. Discretization, stability, convergence. Methods for portfolio optimization, effect of data errors on portfolio weights.
Prerequisites: (AMATH 341/CM 271/CS 371 or CS 370) and STAT 231 or 241; Not open to General Mathematics students
Notes: Lab is not scheduled and students are expected to find time in open hours to complete their work. Offered: W
(Cross-listed with CS 476)
(Cross-listed with CS 476)
Sections For Fall 2009
CM 476 is not held in Fall 2009
Sections For Spring 2009
CM 476 is not held in Spring 2009