CS 476/676:  Numerical Computation for Financial Modeling


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

Here is the course outline.

Here is the revised (due to Covid-19) 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)

    • Mar 20, 2020: Assignment 3 has been revised due to Covid_19. Pleaase download again. No collabration is permitted for this assignment.
    • Final course grade allocation has been revised due to Covid_19. There will be no final exam. See revised course information
    • Enroll CS476/676 Piazza

Last modified on Friday, 20 March 2020, at 12:10 hours.