Mathematical Computing for Finance - MATH3311

Faculty: Faculty of Science

School: School of Mathematics and Statistics

Course Outline: http://www.maths.unsw.edu.au/

Campus: Sydney

Career: Undergraduate

Units of Credit: 6

EFTSL: 0.12500 (more info)

Indicative Contact Hours per Week: 4

Enrolment Requirements:

Prerequisite: (MATH2120 or MATH2130 or MATH2121 or MATH2221 or MATH2111) and (MATH2501 or MATH2601) and (MATH2801 or MATH2901 or MATH2871)

Excluded: MATH5335

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 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.