Numerical Methods for Finance I
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Overview
Subject area
MTH
Catalog Number
9821
Course Title
Numerical Methods for Finance I
Department(s)
Description
Finite difference methods are discussed and implemented for valuating derivative securities such as plain vanilla European and American options, Bermudan options and barrier options. Numerical linear algebra methods used for finite difference solvers, including LU and Cholesky decompositions and iterative (Jacobi, Gauss-Siedel, SOR, and PSOR) methods are also implemented.
Typically Offered
Fall, Spring, Summer
Academic Career
Graduate
Liberal Arts
Yes
Credits
Minimum Units
3
Maximum Units
3
Academic Progress Units
3
Repeat For Credit
No
Components
Name
Lecture
Hours
3