Review of financial models, Monte-Carlo simulation, binomial and trinomial trees, finite-difference method, aspects of time series and parameter estimation, volatility modelling and estimation.
Interpolation and approximation, numerical integration, numerical methods for the solution of nonlinear equations, systems of linear equations and the eigenvalue problem.
This course may not be repeated for credit.
Prerequisite(s)
- Applied Mathematics 481 and 491
SyllabusSections
This course will be offered next in
Winter 2006.