Numerical Methods in Finance

Course Information (Spring 2019)

Time and Place: | TR 15:00--16:15 College of Bu 100 |

Reference books: | |

Wilmott, Howison, and Dewynne, The Mathematics of Financial Derivatives, A Student Introduction. | |

Wilmott, Quantitative Finance, Volume 1. | |

J. W. Thomas, Introduction to Numerical Methods for Partial Differential Equations, Volume 1. | |

Important Websites: | |

Course Information/Assignments: | https://canvas.gatech.edu/ |

Instructor's Web Page: | http://www.math.gatech.edu/~yingjie |

Georgia Tech Honor Code: | http://www.honor.gatech.edu/ |

Instructor: | Dr. Yingjie Liu |

Office: | Skiles 134 |

Phone: | (404)894-2381 |

E-mail: | yingjie at math dot gatech dot edu |

Office Hours: | TR 16:15-17:15, Skiles 134 (or by appointment; e-mail to schedule) |

Homework: | Homework will be assigned every two or three weeks and they must be turned in on time. (Late homework will be accepted, but the grade will be reduced by 20% from the original grade for each day the homework is late, until to a minimum of 50%). |

Grading: | Homework 70%, take home final exam 30%. Final letter grades will be calculated on a curved scale. Do note, though, that the letter grade cutoffs will certainly be no more stringent than the “traditional” cutoffs: 90-100 A, 80-90 B, 70-80 C, 60-70 D. |

Prerequisites: | Differential equations, probability and statistics, linear algebra, and knowledge of programming in some language are all needed in this course. It is especially important that you be able to write computer code, as you will be required to do so on most every homework assignment and the final exam. Registered students should know at least one programming language, e.g., Fortran, C, C++, Matlab, Python etc. |

The learning objectives for Math 6635 are as follows: | (1) Students will learn various models for determining how options are priced, such as Binomial and Black-Scholes. (2) Students will learn some basics of stochastic calculus, and methods for numerically simulating such. (3)Students will learn numerical methods for solutions to specific classes of PDEs, including those with free boundaries. (4) Students will learn other miscellaneous numerical/analytical methods that are applicable to the above. |

A pseudo code for American options | |

Homework 1: | Due 2/7/2019. (Answer key.) |

Homework_2: | Due 3/7/2019. (Answer key.) |

Homework_3: | Due 4/2/2019. |

Homework_4 (final 5/6) : | Due 4/23/2019. |

Final (6/6, no coding required) : | Due 4/30/2019. Please send it through email attachment to yingjie at math dot gatech dot edu, with the subject "Final for 6635". |