Subject:
Computer Science (CS)
Catalog number:
676
Unit weight:
0.50
Meet type:
LEC
Grading basis:
NUM
Cross-listing(s):
N/A
Requisites:
N/A
Description:
The interaction of financial modes, numerical methods, and computing environments. Basic computational aspects of option pricing and hedging. Numerical methods for stochastic differential equations, strong and weak convergence. Generating correlated random numbers. Time-stepping methods. Finite difference methods for Black-Scholes equation. Discretization, stability, convergence. Methods for portfolio optimization, effect of data errors on portfolio weights. (Heldwith CS 476).
Topic titles:
N/A
Faculty:
Mathematics (MAT)
Academic level:
GRD
Course ID:
000620
