Handbook

In the end, finance is concerned with making definite numerical recommendations which frequently can only be made 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. A review of MATLAB, floating point numbers, rounding error and computational complexity. A selection of topics from: approximation and parameter estimation, Fourier series and the FFT, finite difference approximations, partial differential equations (heat equation), sparse linear systems, non-linear algebraic equations, trees, Monte Carlo methods and simulation, random numbers and variance reduction, numerical integration. Computing environments for mathematical finance. Practical examples and programming assignments using MATLAB.