Revised Sept 24, 2015

CS 476: Numeric Computation for Financial Modeling


Watch a video introduction to this course on YouTube.

General description

This course provides an overview of modern numerical algorithms used in financial applications.

Logistics

Audience

Normally available

Related courses

For official details, see the UW calendar.

Software/hardware used

Typical reference(s)

Required preparation

At the start of the course, students should be able to

Learning objectives

At the end of the course, students should be able to

Typical syllabus

Introduction (3) hours

Lattice methods (6) hours

Black-Scholes equation (3) hours

Stochastic differential equations (9) hours

Numerical solution of the Black-Scholes equation (9) hours

Dynamic Portfolio optimization (6) hours

 


Campaign Waterloo

David R. Cheriton School of Computer Science
University of Waterloo
Waterloo, Ontario, Canada N2L 3G1

Tel: 519-888-4567 x33293
Fax: 519-885-1208

Contact | Feedback: cs-webmaster@cs.uwaterloo.ca | David R. Cheriton School of Computer Science | Faculty of Mathematics


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