35483 Numerical Methods for Finance

6cp; 4hpw

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

2008 contribution for post-2008 Commonwealth-supported students: $907.50
Note: Students who commenced prior to 1 January 2008 should consult the Student contribution charges for Commonwealth supported students
Not all students are eligible for Commonwealth Supported places.

2008 amount for undergraduate domestic fee-paying students: $2,490.00

Note: Fees for Postgraduate domestic fee-paying students and international students are charged according to the course they are enrolled in. Students should refer to the Annual Fees Schedule.

Subject EFTSL: 0.125

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.