CS 476
Numerical Computation for Financial Modelling
2015
Topics
- Introduction
- Lattice methods
- Black-Scholes equation
- Stochastic differential equations
- Numerical solution of the Black-Scholes equation
- Dynamic Portfolio optimization
Readings
- Tools for Computational Finance,
- Printed Course Notes
Sources
- Course catalogue ↗2026–2027
- departmental_course_outline ↗2015
- Departmental typical outline and references; assignments and textbooks may vary by term. Source revision: Sept 24, 2015. Year refers to the departmental revision date, not a specific offering.