Spring 2024 Mathematics GR5030 section 001

NUMERICAL METHODS IN FINANCE

NUMERICAL METHODS IN FINA

Call Number 12375
Day & Time
Location
MW 7:40pm-8:55pm
417 Mathematics Building
Points 3
Grading Mode Standard
Approvals Required Instructor
Instructor Tat Sang Fung
Type LECTURE
Method of Instruction In-Person
Course Description Prerequisites: some familiarity with the basic principles of partial differential equations, probability and stochastic processes, and of mathematical finance as provided, e.g. in MATH W5010. Prerequisites: some familiarity with the basic principles of partial differential equations, probability and stochastic processes, and of mathematical finance as provided, e.g. in MATH W5010. Review of the basic numerical methods for partial differential equations, variational inequalities and free-boundary problems. Numerical methods for solving stochastic differential equations; random number generation, Monte Carlo techniques for evaluating path-integrals, numerical techniques for the valuation of American, path-dependent and barrier options.
Web Site Vergil
Department Mathematics
Enrollment 61 students (64 max) as of 12:05PM Sunday, December 8, 2024
Subject Mathematics
Number GR5030
Section 001
Division Graduate School of Arts and Sciences
Open To GSAS
Note Priority to MAFN. Open to STATS 1/8. Open to Univ. 1/15
Section key 20241MATH5030G001