MA 471

Comp Methods in Finance

Numerical methods used in financial engineering and risk management, including numerical solutions of ordinarily differential equations, finite difference methods, numerical optimization, Monte Carlo and quasi-Monte Carlo methods, numerical solutions of stochastic differential equations, fast Fourier and other discrete transform methods. The computational methods are illustrated with the use of programming languages such as MAPLE, MATLAB and VBA. 3 lecture hours. 2 laboratory hours every other week. Prerequisites: MA205, MA370, and either MA307 or MA371.