Computational Methods for Finance - MATH5335
Faculty: Faculty of Science
School: School of Mathematics and Statistics
Course Outline: http://www.maths.unsw.edu.au/
Campus: Sydney
Career: Postgraduate
Units of Credit: 6
EFTSL: 0.12500 (more info)
Indicative Contact Hours per Week: 3
Excluded: MATH3311
CSS Contribution Charge: 2 (more info)
Tuition Fee: See Tuition Fee Schedule
Further Information: See Class Timetable
Description
In the end finance is concerned with making definite numerical recommendations that frequently can only be obtained by analysing sophisticated models using high-speed computers. This course studies the design, implementation and use of computer programs to solve practical mathematical problems of relevance to finance, insurance and risk management.
It includes a review of MATLAB, floating point numbers, rounding error and computational complexity, and a selection of topics from: approximation and parameter estimation, Fourier series and the FFT, finite difference approximations, partial differential equations (Black-Scholes PDE), sparse linear systems, nonlinear algebraic equations, trees, Monte Carlo methods and simulation, random numbers and variance reduction, numerical integration.
It includes a review of MATLAB, floating point numbers, rounding error and computational complexity, and a selection of topics from: approximation and parameter estimation, Fourier series and the FFT, finite difference approximations, partial differential equations (Black-Scholes PDE), sparse linear systems, nonlinear algebraic equations, trees, Monte Carlo methods and simulation, random numbers and variance reduction, numerical integration.