Computational Finance

Code: MA3661H | L-T-P-C: 3-0-2-4

Review of financial market models for derivative pricing, interest rate modelling and Black-Scholes PDE; Solutions of pricing PDEs using finite difference methods, American option as free boundary problem, computation of price of American options, pricing of exotic options, upwind scheme and other methods.

Texts:

• R. U. Seydel, Tools for Computational Finance, Fifth Edition, Springer, 2012.
• You-Ian Zhu, X. Wu, I-Liang Chern and Zhi-zong Sun, Derivative Securities and Difference Methods, Second Edition, Springer, 2013.

 

References:

• D. Higham, Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation, Cambridge University Press, 2004.
• P. Wilmott, S. Howison and J. Dewynne, The Mathematics of Financial Derivatives: A Student Introduction, Cambridge University Press, 1997
• Y. Lyuu, Financial Engineering and Computation, Cambridge University Press, 2002.