Math 6635 - Numerical Methods in Finance

All the handouts will be posted in this web page.

Time and location Lectures are on Mondays and Wednesdays from 11:05am to 12:25pm in Skiles room 268.

Instructor

Guillermo Goldsztein
Skiles Building, Room 112
Phone: 404-894-2286
e-mail: ggold@math.gatech.edu
Office hours: Mondays and Wednesdays from 12:25pm to 12:55pm

TA/Grader

Yunxi Liu
e-mail: yliu660@gatech.edu
Phone: 404-725-7838
Conference Room 497 in School of Office hours: Tuesday from 10am-11:30am, Business Scheller,Conference Room 497. You need to contact the TA on Monday if you plan to meet her during her office hours to make sure she will be there.

Prerequisites

Math 2403 and Math 3215 (or the equivalent), knowledge of computer programming, and MS QCF standing or some previous exposure to the topics of stocks, bonds and options.

Material to be covered

Review of elements of finance and probability: Options. Probability. Asset pricing. Stochastic integrals and differential equations. Option pricing.
Numerical methods: Finite precision arithmetic. Error. Conditioning. Stability. Convergence. Complexity. Linear systems. Interpolation. Non-linear equations. Integration. Monte Carlo. PDEs.
Numerical methods for the pricing of options: Binomial, Monte Carlo, Finite differences

Books

We will not follow any particular book, but some references are: "Numerical Methods in Finance and Economics. A Matlab based introduction", by Paolo Brandimarte. "The Mathematics of Financial Derivatives. A Student Introduction" by Wilmott, Howison and Dewyne.

Grading policy

There will be several homework throught the semester. The homework will be worth 80% of the grade. The homework is to be done individually. There will be a final during the final period worth 20% of the grade.

Georgia Tech honor code