Numerical Methods with Financial Applications
Theoretical study and practical implementation of numerical methods for scientific problems, with emphasis on financial applications. Topics: Newton's method for nonlinear equations; Systems of linear equations; Numerical integration; Interpolation and polynomial approximation; Ordinary differential equations; Partial differential equations, in particular the Black-Scholes equation; Monte Carlo simulation; Numerical modeling.
Topics
- Newton's method for nonlinear equations
- Systems of linear equations
- Numerical integration
- Interpolation and polynomial approximation
- Ordinary differential equations
- Partial differential equations
- in particular the Black-Scholes equation
- Monte Carlo simulation
- Numerical modeling
Topics explicitly listed in official catalogue description
Prerequisites & course information
Differential Equations (MATH 216, 256, 286, or 316); Linear Algebra (MATH 214, 217, 417, or 419); working knowledge of a high-level computer language. Recommended: MATH 425 or 525. (3). (BS). May not be repeated for credit. No credit granted to those who have completed or are enrolled in MATH 471 or 371.
Sources
- Course catalogue ↗2026-2027
- Catalogue entry ↗
Catalogue variants
- Numerical Methods with Financial Applications · 3 · Graduate credit