Course Page

Numerical Methods

Course Number:

46950


Program

MSCF


Course Description

This course covers numerical methods relevant to solving the partial differential equations of mathematical finance. Theoretical and practical issues are treated. Topics include (but are not limited to): background material in partial differential equations, examples of exact solutions including Black Scholes and its relatives, finite difference methods including algorithms and question of stability and convergence, treatment of near and far boundary conditions, the connection with binomial models, interest rate models, early exercise, and the corresponding free boundary problems, and a brief introduction to numerical methods for solving multi-factor models. Prerequisite: Stochastic Calculus I 46-944.

Format

Lecture: 100min/wk and Recitation: 50min/wk


Pre-requisites

None