Requisite(s): 35102 Mathematics 2 AND 35170 Introduction to Computing AND 35361 Probability and Stochastic Processes
These requisites may not apply to students in certain courses. See access conditions.
This subject covers the basic numerical methods needed in financial applications, in particular in the pricing and hedging of derivative financial instruments; introduction to Visual Basic in the context of numerical analysis; numerical methods: solution of nonlinear equations, fixed point and Newton's methods; numerical linear alegbra: LU factorisation method, vector and matrix norms, iterative methods (Jacobi and Gauss-Seidel) for solving linear systems, analysis of convergence, applications to finite difference methods; interpolation: Lagrange and iterated divided difference methods; numerical differentiation and integration: Newton-Cotes methods; Monte Carlo simulation and binomial lattice methods with application to computational finance; and initial value problems for ordinary differential equations: Euler's method and Runge-Kutta methods, predictor-corrector methods.
Autumn semester, City campus