Dr Tugkan Batu, COL 4.04 and Dr Luitgard Veraart COL 4.11

This course is primarily intended for students studying MSc Financial Mathematics. It is also available on MSc Finance, MSc Finance and Economics and MSc Management and Regulation of Risk.

MA400 September Introductory Course (Financial Mathematics)

The purpose of this course is to (a) develop the students' computational skills, and (b) introduce a range of numerical techniques of importance to financial engineering.

The course starts with the implementation of binomial and trinomial trees. Random number generation, the fundamentals of Monte Carlo simulation and a number of related issues follow. Numerical solutions to stochastic differential equations and their implementation are considered. The course then addresses finite-difference schemes for the solution of partial differential equations arising in finance.

8 support lectures and 6 programming seminars in MT; 20 lectures, 4 seminars and 10 programming seminars in LT.

Weekly exercises and practicals are set and form the basis of the seminars .

R.U. Seydel, Tools for Computational Finance, Springer; ; D. J. Duffy, Introduction to C++ for financial engineers, Wiley; P.Glasserman, Monte Carlo Methods in Financial Engineering, Springer; M. S. Joshi, C++ Design Patterns and Derivatives Pricing, Cambridge; P.E.Kloeden and E.Platen, Numerical Solution of Stochastic Differential Equations, Springer. B. Stroustrup, The C++ Programming Language, Addison Wesley; D.M. Capper, Introducing C++ for Scientists, Engineers and Mathematicians, Springer.

50% for a two-hour exam in the Summer Term and 50% for a project based on independent study to be submitted by a given date in June. The project is a written report, normally between 15 and 20 pages long, 11pt, single-spaced.