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Overview

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.

Study Level

Undergraduate

Offering Terms

Term 2

Campus

Kensington

Delivery Mode

Fully on-site

Indicative contact hours

5

Conditions for Enrolment

Prerequisite: (MATH2120 or MATH2130 or MATH2121 or MATH2221 or MATH2111) and (MATH2501 or MATH2601) and (MATH2801 or MATH2901 or MATH2871)

Course Outline

To access course outline, please visit:

Fees

Pre-2019 Handbook Editions

Access past handbook editions (2018 and prior)

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