MA417 Half Unit
Computational Methods in Finance
This information is for the 2020/21 session.
Dr Luitgard Veraart
This course is compulsory on the MSc in Financial Mathematics. This course is available with permission as an outside option to students on other programmes where regulations permit.
Students must have completed September Introductory Course (Financial Mathematics and Quantitative Methods for Risk Management) (MA400).
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 random number generation, the fundamentals of Monte Carlo simulation and a number of related issues. 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.
This course is delivered through a combination of classes and lectures totalling a minimum of 30 hours across Lent Term. This year, some or all of this teaching will be delivered through a combination of virtual classes and lectures delivered as online videos.
Weekly exercises and practicals are set and form the basis of the seminars.
P.Glasserman, Monte Carlo Methods in Financial Engineering, Springer; R.U. Seydel, Tools for Computational Finance, Springer; P.E.Kloeden and E.Platen, Numerical Solution of Stochastic Differential Equations, Springer;
Exam (50%, duration: 2 hours) in the summer exam period.
Project (50%) in the ST.
Important information in response to COVID-19
Please note that during 2020/21 academic year some variation to teaching and learning activities may be required to respond to changes in public health advice and/or to account for the situation of students in attendance on campus and those studying online during the early part of the academic year. For assessment, this may involve changes to mode of delivery and/or the format or weighting of assessments. Changes will only be made if required and students will be notified about any changes to teaching or assessment plans at the earliest opportunity.
Total students 2019/20: 19
Average class size 2019/20: 19
Controlled access 2019/20: No
Value: Half Unit
Personal development skills
- Problem solving
- Application of information skills
- Application of numeracy skills
- Specialist skills