The University of New South Wales

go to UNSW home page

Handbook Home

PRINT THIS PAGE
Mathematical Computing for Finance - MATH3311
 Students studying

   
   
   
 
Campus: Kensington Campus
 
 
Career: Undergraduate
 
 
Units of Credit: 6
 
 
EFTSL: 0.12500 (more info)
 
 
Indicative Contact Hours per Week: 4
 
 
Enrolment Requirements:
 
 
Prerequisite: MATH2120 or MATH2130 or MATH2111and MATH2501 or MATH2601 and MATH2801 or MATH2901 or MATH2871 or MATH2841
 
 
Excluded: MATH5335
 
 
CSS Contribution Charge:Band 2 (more info)
 
   
 
Further Information: See Class Timetable
 
  

Description

In the end, finance is concerned with making definite numerical recommendations which frequently can only be made by analysing sophisticated models using high-speed computers. This course studies the design, implementation and use of computer programs to solve practical mathematical problems of relevance to finance, insurance and risk management. A review of MATLAB, floating point numbers, rounding error and computational complexity. A selection of topics from: approximation and parameter estimation, Fourier series and the FFT, finite difference approximations, partial differential equations (heat equation), sparse linear systems, non-linear algebraic equations, trees, Monte Carlo methods and simulation, random numbers and variance reduction, numerical integration. Computing environments for mathematical finance. Practical examples and programming assignments using MATLAB.

URL for this page:

© The University of New South Wales (CRICOS Provider No.: 00098G), 2004-2011. The information contained in this Handbook is indicative only. While every effort is made to keep this information up-to-date, the University reserves the right to discontinue or vary arrangements, programs and courses at any time without notice and at its discretion. While the University will try to avoid or minimise any inconvenience, changes may also be made to programs, courses and staff after enrolment. The University may also set limits on the number of students in a course.