Course

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

View course information for previous years.

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.


computational

Study Levels

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