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Overview

In the end finance is concerned with making definite numerical recommendations that frequently can only be obtained 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.
It includes a review of MATLAB, floating point numbers, rounding error and computational complexity, and a selection of topics from: approximation and parameter estimation, Fourier series and the FFT, finite difference approximations, partial differential equations (Black-Scholes PDE), sparse linear systems, nonlinear algebraic equations, trees, Monte Carlo methods and simulation, random numbers and variance reduction, numerical integration.

Study Level

Postgraduate

Offering Terms

Term 2

Campus

Kensington

Delivery Mode

Fully on-site

Indicative contact hours

4

Course Outline

To access course outline, please visit:

Fees

Pre-2019 Handbook Editions

Access past handbook editions (2018 and prior)

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