CS 476/676:  Numerical Computation for Financial Modeling

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This is the homepage for CS 476/676: Numerical Computation for Financial Modeling: Winter 2020

Here is the course outline.

In this course, students will learn principles and practices of basic numerical computation in the area of business and finance. Topics include:

  • Introduction to Options
  • Random Walks on a Lattice
  • Ito's Lemma
  • Black-Scholes Model
  • No Arbitrage Lattice
  • Hedging
  • Monte Carlo Methods
  • Risk Neutral Valuation
  • Finite Difference Methods for Option Pricing
  • VaR and CVaR risk measures
  • Convexity and Optimality
  • Portfolio Optimization
  • Option model calibration
  • A student is responsible for all material covered in class. It is important to attend all classes.

     

    Announcements (Winter 2020)

    • Assignment 2 is now available.
    • Revised Assignment 1 (change only in Question 6, Version Jan 20, 2020) is posted. Please download again
    • Assignment 1 is now available.
    • The course notes are on sale at W Store South Campus Hall
    • Enroll CS476/676 Piazza

Last modified on Monday, 10 February 2020, at 10:46 hours.