35483 Numerical Methods for Finance

6cp; 4hpw

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.

Typical availability

Autumn semester, City campus

Fee information

2007 contribution for post-2004 Commonwealth-supported students: $889.75
2007 amount for undergraduate domestic fee-paying students: $2,220.00
Subject EFTSL: 0.125
Note: The above fees are applicable in 2007 for Commonwealth-supported students who commenced after 2004 and domestic fee-paying undergraduate students only. Pre-2005 Commonwealth-supported students should consult the Student contribution charges for Commonwealth supported students webpage.
Not all students are eligible for Commonwealth supported places, and not all subjects are available to Commonwealth supported students. Domestic fee-paying students and international students should refer to the Fees webpage.

Access conditions

Note: The requisite information presented in this subject description covers only academic requisites. Full details of all enforced rules, covering both academic and admission requisites, are available at Access conditions and My Student Admin.